Rényi Entropy and Surrogate Data Analysis for Stock Markets.

In this paper, we propose a new method of Rényi entropy and surrogate data analysis as a new measure to assess the complexity of a complex dynamical system. Simulations are conducted over artificial sequence and stock market series to provide model test and empirical analysis. The results show that the new method has a strong identification for different series and the Δ R (q) curves of stock markets are all successfully fitted by exponential functions. These results can be well identified and analyzed in depth. [ABSTRACT FROM AUTHOR]