文献类型：期刊文献

英文题名：Cross-sample entropy of foreign exchange time series

作者：Liu, Li-Zhi[1];Qian, Xi-Yuan[1,2];Lu, Heng-Yao[1]

机构：[1]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2010

卷号：389

期号：21

起止页码：4785

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20103513205019);WOS:【SCI-EXPANDED(收录号:WOS:000282241600036)】；

基金：We are grateful to professor Wei-Xing Zhou for the suggestions and comments on this work. This work was partially supported by "the Fundamental Research Funds for the Central Universities" and "Shanghai Financial and Securities Professional Committee".

语种：英文

外文关键词：Cross-sample entropy (cross-SampEn); Foreign exchange rate; Time series

摘要：The correlation of foreign exchange rates in currency markets is investigated based on the empirical data of DKK/USD, NOK/USD, CAD/USD, JPY/USD, KRW/USD, SGD/USD, THB/USD and TWD/USD for a period from 1995 to 2002. Cross-SampEn (cross-sample entropy) method is used to compare the returns of every two exchange rate time series to assess their degree of asynchrony. The calculation method of confidence interval of SampEn is extended and applied to cross-SampEn. The cross-SampEn and its confidence interval for every two of the exchange rate time series in periods 1995-1998 (before the Asian currency crisis) and 1999-2002 (after the Asian currency crisis) are calculated. The results show that the cross-SampEn of every two of these exchange rates becomes higher after the Asian currency crisis, indicating a higher asynchrony between the exchange rates. Especially for Singapore, Thailand and Taiwan, the cross-SampEn values after the Asian currency crisis are significantly higher than those before the Asian currency crisis. Comparison with the correlation coefficient shows that cross-SampEn is superior to describe the correlation between time series. (C) 2010 Elsevier B.V. All rights reserved.