JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2014, Vol. 49 ›› Issue (07): 50-56.doi: 10.6040/j.issn.1671-9352.0.2014.032

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The application of sample entropy in stock stability analysis

SHEN Wen-hao, QIAO Kan-kun, LU Zhi-ming   

  1. Shanghai Institute of Applied Mathematics and Mechanics, Shanghai University, Shanghai 200072, China
  • Received:2014-01-22 Online:2014-07-20 Published:2014-09-15

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Abstract: By means of sample entropy, the logarithmic price difference series of the Shanghai Composite Index, the Shenzhen Component Index, the Hang Seng Index, and the Dow Jones Index are analyzed. It is proved that the entropy of stock is related with market stability. When the amount of currency in circulation increased, the entropy of stock increased as well, the market becomes more mature. Further analysis of domestic and foreign financial index indicates that when the market is under control, even if the amount of currency in circulation increased, the entropy will still decrease sharply, the market degrades. Through horizontal comparison of the entropy of different time scale, characteristics of the short-term and long-term market are revealed.

Key words: the sample entropy, stock index, stability analysis

CLC Number: 

  • O29
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