Generalized weighted permutation entropy.

A novel heuristic approach is proposed here for time series data analysis, dubbed Generalized weighted permutation entropy, which amalgamates and generalizes beyond their original scope two well established data analysis methods: Permutation entropy and Weighted permutation entropy. The method introduces a scaling parameter to discern the disorder and complexity of ordinal patterns with small and large fluctuations. Using this scaling parameter, the complexity-entropy causality plane is generalized to the complexity-entropy-scale causality box. Simulations conducted on synthetic series generated by stochastic, chaotic, and random processes, as well as real world data, are shown to produce unique signatures in this three dimensional representation.

A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect.

Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics. This paper uses multifractal analysis to evaluate if the temporal dynamics of market returns also exhibit calendar anomalies such as day-of-the-week effects. We apply multifractal detrended fluctuation analysis (MF-DFA) to the daily returns of market indices worldwide for each day of the week. Our results indicate that distinct multifractal properties characterize individual days of the week. Monday returns tend to exhibit more persistent behavior and richer multifractal structures than other day-resolved returns. Shuffling the series reveals that multifractality arises from a broad probability density function and long-term correlations. The time-dependent multifractal analysis shows that the Monday returns' multifractal spectra are much wider than those of other days. This behavior is especially persistent during financial crises. The presence of day-of-the-week effects in multifractal dynamics of market returns motivates further research on calendar anomalies for distinct market regimes.

QRNN: $q$ -Generalized Random Neural Network.

Artificial neural networks (ANNs) are widely used in applications with complex decision boundaries. A large number of activation functions have been proposed in the literature to achieve better representations of the observed data. However, only a few works employ Tsallis statistics, which has successfully been applied to various other fields. This paper presents a random neural network (RNN) with q -Gaussian activation functions [ q -generalized RNN (QRNN)] based on Tsallis statistics. The proposed method employs an additional parameter q (called the entropic index) which reflects the degree of nonextensivity. This approach has the flexibility to model complex decision boundaries of different shapes by varying the entropic index. We conduct numerical experiments to analyze the efficiency of QRNN compared with RNNs and several other classical methods. Statistical tests (Wilcoxon and Friedman) are used to validate our results and show that the QRNN performs significantly better than RNNs with different activation functions. In addition, we find that QRNN outperforms many of the compared classical methods, with the exception of support vector machines, in which case it still exhibits a substantial advantage in terms of implementation simplicity and speed.