This paper introduces a multiscale multifractal diffusion entropy analysis (MMDEA) method to analyze long-range correlation then applies this method to stock index series. The method combines the techniques of diffusion process and Rényi entropy to focus on the scaling behaviors of stock index...

This paper introduces a generalized diffusion entropy analysis method to analyze long-range correlation then applies this method to stock volatility series. The method uses the techniques of the diffusion process and Rényi entropy to focus on the scaling behaviors of regular volatility and...