Measuring the complexity of securities’ time series in VN30 index: A permutation entropy approach

Abstract

The paper applies the Bandt and Pompe (2002) method to measure the complexity of daily close price and daily return of VN30’s stocks during the period from January 2000 to August 2018. The fact that normalized permutation entropy of daily close price series is quite far from 1 implies the stocks’ close price is not a pure random walk process. It contains permutation patterns and can be partially predicted. In consideration of normalized permutation entropy of daily returns series, it is noticeable that the fluctuation of daily return series is more random and thus, more unpredictable compared to that of the price series. Additionally, the permutation entropy of the price series better explains the fluctuation of average returns. It is also better compared to using entropy of daily returns series and to using normal risks as returns’ standard deviation.

Keywords

• chuỗi giá đóng cửa
• chuỗi tỷ suất sinh lời
• emtropy hoán vị
• đo lường độ phức tạp của chuỗi thời gian
• emtropy hoán vị chuẩn hóa