Analysis of financial stock markets through multidimensional scaling based on information measures

作者：Wang, Yuanyuan^*; Shang, Pengjian

来源：Nonlinear Dynamics, 2017, 89(3): 1827-1844.

DOI：10.1007/s11071-017-3555-5

• Multidimensional scaling
• Information measures method
• Financial time series
• Econophysics

In this paper, a novel multidimensional scaling (MDS) based on information measures method is proposed to analyze financial stock markets. In order to examine the effectiveness of this method, we applied it to the classification of two types of artificial series, the logistic map model and the cubic map model, as well as stock time series. Moreover, the traditional MDS using Euclidean dissimilarity is also provided as a reference for comparisons. The results show that the MDS based on information measures can give us more detailed, exact and clearer information on the classification of simulation series and stock time series than the MDS using Euclidean dissimilarity. In addition, the proposed graphical method may also assist in the construction of multivariate econometric models.

• 出版日期2017-8
• 单位北京交通大学