The Experts below are selected from a list of 26061 Experts worldwide ranked by ideXlab platform
Luciano Zunino - One of the best experts on this subject based on the ideXlab platform.
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monitoring the informational efficiency of european corporate bond markets with dynamical permutation min entropy
Physica A-statistical Mechanics and Its Applications, 2016Co-Authors: Aurelio F Bariviera, Belen M Guercio, Lisana B Martinez, Osvaldo A. Rosso, Luciano ZuninoAbstract:Abstract In this paper the permutation min-entropy has been implemented to unveil the presence of temporal structures in the daily values of European corporate bond indices from April 2001 to August 2015. More precisely, the informational efficiency evolution of the prices of fifteen sectorial indices has been carefully studied by estimating this information-theory-derived Symbolic Tool over a sliding time window. Such a dynamical analysis makes possible to obtain relevant conclusions about the effect that the 2008 credit crisis has had on the different European corporate bond sectors. It is found that the informational efficiency of some sectors, namely banks, financial services, insurance, and basic resources, has been strongly reduced due to the financial crisis whereas another set of sectors, integrated by chemicals, automobiles, media, energy, construction, industrial goods & services, technology, and telecommunications has only suffered a transitory loss of efficiency. Last but not least, the food & beverage, healthcare, and utilities sectors show a behavior close to a random walk practically along all the period of analysis, confirming a remarkable immunity against the 2008 financial crisis.
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permutation min entropy an improved quantifier for unveiling subtle temporal correlations
EPL, 2015Co-Authors: Osvaldo A. Rosso, Luciano Zunino, Felipe OlivaresAbstract:The aim of this letter is to introduce the permutation min-entropy as an improved Symbolic Tool for identifying the existence of hidden temporal correlations in time series. On the one hand, analytical results obtained for the fractional Brownian motion stochastic model theoretically support this hypothesis. On the other hand, the analysis of several computer-generated and experimentally observed time series illustrate that the proposed Symbolic quantifier is a versatile and practical Tool for identifying the presence of subtle temporal structures in complex dynamical systems. Comparisons against the results obtained with other Tools confirm its usefulness as an alternative and/or complementary measure of temporal correlations.
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discriminating chaotic and stochastic dynamics through the permutation spectrum test
Chaos, 2014Co-Authors: Christopher W Kulp, Luciano ZuninoAbstract:In this paper, we propose a new heuristic Symbolic Tool for unveiling chaotic and stochastic dynamics: the permutation spectrum test. Several numerical examples allow us to confirm the usefulness of the introduced methodology. Indeed, we show that it is robust in situations in which other techniques fail (intermittent chaos, hyperchaotic dynamics, stochastic linear and nonlinear correlated dynamics, and deterministic non-chaotic noise-driven dynamics). We illustrate the applicability and reliability of this pragmatic method by examining real complex time series from diverse scientific fields. Taking into account that the proposed test has the advantages of being conceptually simple and computationally fast, we think that it can be of practical utility as an alternative test for determinism.
Osvaldo A. Rosso - One of the best experts on this subject based on the ideXlab platform.
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monitoring the informational efficiency of european corporate bond markets with dynamical permutation min entropy
Physica A-statistical Mechanics and Its Applications, 2016Co-Authors: Aurelio F Bariviera, Belen M Guercio, Lisana B Martinez, Osvaldo A. Rosso, Luciano ZuninoAbstract:Abstract In this paper the permutation min-entropy has been implemented to unveil the presence of temporal structures in the daily values of European corporate bond indices from April 2001 to August 2015. More precisely, the informational efficiency evolution of the prices of fifteen sectorial indices has been carefully studied by estimating this information-theory-derived Symbolic Tool over a sliding time window. Such a dynamical analysis makes possible to obtain relevant conclusions about the effect that the 2008 credit crisis has had on the different European corporate bond sectors. It is found that the informational efficiency of some sectors, namely banks, financial services, insurance, and basic resources, has been strongly reduced due to the financial crisis whereas another set of sectors, integrated by chemicals, automobiles, media, energy, construction, industrial goods & services, technology, and telecommunications has only suffered a transitory loss of efficiency. Last but not least, the food & beverage, healthcare, and utilities sectors show a behavior close to a random walk practically along all the period of analysis, confirming a remarkable immunity against the 2008 financial crisis.
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permutation min entropy an improved quantifier for unveiling subtle temporal correlations
EPL, 2015Co-Authors: Osvaldo A. Rosso, Luciano Zunino, Felipe OlivaresAbstract:The aim of this letter is to introduce the permutation min-entropy as an improved Symbolic Tool for identifying the existence of hidden temporal correlations in time series. On the one hand, analytical results obtained for the fractional Brownian motion stochastic model theoretically support this hypothesis. On the other hand, the analysis of several computer-generated and experimentally observed time series illustrate that the proposed Symbolic quantifier is a versatile and practical Tool for identifying the presence of subtle temporal structures in complex dynamical systems. Comparisons against the results obtained with other Tools confirm its usefulness as an alternative and/or complementary measure of temporal correlations.
Christopher W Kulp - One of the best experts on this subject based on the ideXlab platform.
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discriminating chaotic and stochastic dynamics through the permutation spectrum test
Chaos, 2014Co-Authors: Christopher W Kulp, Luciano ZuninoAbstract:In this paper, we propose a new heuristic Symbolic Tool for unveiling chaotic and stochastic dynamics: the permutation spectrum test. Several numerical examples allow us to confirm the usefulness of the introduced methodology. Indeed, we show that it is robust in situations in which other techniques fail (intermittent chaos, hyperchaotic dynamics, stochastic linear and nonlinear correlated dynamics, and deterministic non-chaotic noise-driven dynamics). We illustrate the applicability and reliability of this pragmatic method by examining real complex time series from diverse scientific fields. Taking into account that the proposed test has the advantages of being conceptually simple and computationally fast, we think that it can be of practical utility as an alternative test for determinism.
Felipe Olivares - One of the best experts on this subject based on the ideXlab platform.
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permutation min entropy an improved quantifier for unveiling subtle temporal correlations
EPL, 2015Co-Authors: Osvaldo A. Rosso, Luciano Zunino, Felipe OlivaresAbstract:The aim of this letter is to introduce the permutation min-entropy as an improved Symbolic Tool for identifying the existence of hidden temporal correlations in time series. On the one hand, analytical results obtained for the fractional Brownian motion stochastic model theoretically support this hypothesis. On the other hand, the analysis of several computer-generated and experimentally observed time series illustrate that the proposed Symbolic quantifier is a versatile and practical Tool for identifying the presence of subtle temporal structures in complex dynamical systems. Comparisons against the results obtained with other Tools confirm its usefulness as an alternative and/or complementary measure of temporal correlations.
Zunino, Luciano José - One of the best experts on this subject based on the ideXlab platform.
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Discriminating chaotic and stochastic dynamics through the permutation spectrum test
'AIP Publishing', 2020Co-Authors: Kulp C. W., Zunino, Luciano JoséAbstract:In this paper, we propose a new heuristic Symbolic Tool for unveiling chaotic and stochastic dynamics: the permutation spectrum test. Several numerical examples allow us to confirm the usefulness of the introduced methodology. Indeed, we show that it is robust in situations in which other techniques fail (intermittent chaos, hyperchaotic dynamics, stochastic linear and nonlinear correlated dynamics, and deterministic non-chaotic noise-driven dynamics). We illustrate the applicability and reliability of this pragmatic method by examining real complex time series from diverse scientific fields. Taking into account that the proposed test has the advantages of being conceptually simple and computationally fast, we think that it can be of practical utility as an alternative test for determinism. The importance of distinguishing between periodic, chaotic, and stochastic dynamics from time series analysis is well-recognized for understanding the mechanisms that govern the regarded complex systems. In this work, we have introduced a conceptually simple and computationally fast Symbolic visual test for discriminating chaotic and stochastic dynamics, called the permutation spectrum test. Because the symbolization is made by implementing the Bandt and Pompe methodology, all the advantages associated with this natural encoding (simplicity, extremely fast calculation, robustness, and invariance with respect to monotonous transformations) are inherited by the permutation spectrum test. We have shown that this pragmatic approach is robust in situations in which other tests fail. We have also confirmed its practical utility by examining several experimental and natural time series.Centro de Investigaciones Óptica
