Authors: Jing Wang Pengjian Shang Aijin Lin Yuechen Chen
Publish Date: 2014/01/28
Volume: 76, Issue: 3, Pages: 1821-1828
Abstract
Inner composition alignment IOTA is a recently proposed permutationbased asymmetric association measure to identify coupling interrelations between different subsystems together with the associated directionality which is especially designed for very short time series In this paper we extended IOTA to investigate the coupling between subsystems for long time series which is called segmented IOTA SIOTA Both global and local degree of couplings can be detected by varying the segment length SIOTA is then applied to investigate interactions between stock market indices of America and different countries and obtain many interesting results Compared to SIOTA crosssample entropy is introduced to obtain consistent results Besides timedelay SIOTA modified from SIOTA is employed to find the best delay time for two time series with missing valuesThe study is supported by the Fundamental Research Funds for the Central Universities 2014YJS133 funds of the China National Science 61071142 61371130 the National High Technology Research Development Program of China 863 Program 2011AA110306 and the Beijing National Science 4122059
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