title: Asymmetric asynchrony of financial time series based on asymmetric multiscale cross-sample entropy.
abstract: The paper proposes the asymmetric multiscale cross-sample entropy (AMCSE) method and applies it to analyze the financial time series of US, Chinese, and European stock markets. The asynchronies of these time series in USA, China, and Europe all decrease (the correlations increase) with the increase in scale which declares that taking into account bigger time scale to study these financial time series is capable of revealing the intrinsic relations between these stock markets. Meanwhile, we find that there is a crossover between the upwards and the downwards in these AMCSE results, which indicates that when the scale reach a certain value, the asynchronies of the upwards and the downwards for these stock markets are equal and symmetric. But for the other scales, the asynchronies of the upwards and the downwards are different from each other indicating the necessity and importance of multiscale analysis for revealing the most comprehensive information of stock markets. The series with a positive trend have a higher decreasing pace on asynchrony than those with a negative trend, while the asynchrony between the series with a positive or negative trend is lower than that between the original series. Moreover, it is noticeable that there are some small abnormal rises at some abnormal scales. We find that the asynchronies are the highest at scales smaller than 2 when investigating the time series of stock markets with a negative trend. The existences of asymmetries declare the inaccuracy and weakness of multiscale cross-sample entropy, while by comparing the asymmetries of US, Chinese, and European markets, similar conclusions can be drawn and we acquire that the asymmetries of Chinese markets are the smallest and the asymmetries of European markets are the biggest. Thus, it is of great value and benefit to investigate the series with different trends using AMCSE method.
authors.affiliation: Department of Mathematics, Beijing Jiaotong University, No. 3 Shangyuan Residence, Haidian District, Beijing, 100044, People's Republic of China.
authors.forename: Yi
authors.initials: Y
authors.lastname: Yin
authors.affiliation: Department of Mathematics, Beijing Jiaotong University, No. 3 Shangyuan Residence, Haidian District, Beijing, 100044, People's Republic of China.
authors.forename: Pengjian
authors.initials: P
authors.lastname: Shang