Refined two-index entropy and multiscale analysis for complex system

Abstract As a fundamental concept in describing complex system, entropy measure has been proposed to various forms, like Boltzmann–Gibbs (BG) entropy, one-index entropy, two-index entropy, sample entropy, permutation entropy etc. This paper proposes a new two-index entropy S q,δ and we find the new two-index entropy is applicable to measure the complexity of wide range of systems in the terms of randomness and fluctuation range. For more complex system, the value of two-index entropy is smaller and the correlation between parameter δ and entropy S q,δ is weaker. By combining the refined two-index entropy S q,δ with scaling exponent h ( δ ), this paper analyzes the complexities of simulation series and classifies several financial markets in various regions of the world effectively.

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