Nonlinear Multiscale Entropy and Recurrence Quantification Analysis of Foreign Exchange Markets Efficiency.

摘要: The regularity of price fluctuations in exchange rates plays a crucial role foreign (FX) market dynamics. In this paper, we quantify the multiply irregular fluctuation behaviors last 10 years (November 2006–November 2016) eight world economies with two nonlinear approaches. One is recently proposed multiscale weighted permutation entropy (MWPE) and another typical quantification recurrence analysis (RQA) technique. Furthermore, utilize RQA technique to study different intrinsic mode functions (IMFs) that represents frequencies scales raw time series via empirical decomposition algorithm. Complexity characteristics abundance distinction are obtained markets. results show JPY/USD (followed by EUR/USD) implies higher complexity indicates relatively efficiency Japanese FX market, while some like South Korea, Hong Kong China lower weaker their Meanwhile, it suggested financial crisis enhances