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摘要翻译：
禁止模式的存在，即在给定的时间序列中存在某些缺失序列，是最近提出的在时间序列研究中有潜在应用价值的工具。禁止模式与置换熵有关，置换熵具有经典混沌指标的基本性质，从而允许从随机序列中分离确定性（通常是混沌）；然而，它需要计算的序列值较少，适合于与小数据集一起使用。本文研究了禁忌模式在不同经济指标中的出现，如股票指数（道琼斯工业平均指数和纳斯达克综合指数）、纽约证券交易所股票（IBM和波音）和其他股票（10年期债券利率），以寻找它们演变中确定性行为的证据。
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英文标题：
《Forbidden patterns in financial time series》
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作者：
Massimiliano Zanin
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最新提交年份：
2007
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
The existence of forbidden patterns, i.e., certain missing sequences in a given time series, is a recently proposed instrument of potential application in the study of time series. Forbidden patterns are related to the permutation entropy, which has the basic properties of classic chaos indicators, thus allowing to separate deterministic (usually chaotic) from random series; however, it requires less values of the series to be calculated, and it is suitable for using with small datasets. In this Letter, the appearance of forbidden patterns is studied in different economical indicators like stock indices (Dow Jones Industrial Average and Nasdaq Composite), NYSE stocks (IBM and Boeing) and others (10-year Bond interest rate), to find evidences of deterministic behavior in their evolutions.
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PDF链接：
https://arxiv.org/pdf/0711.0729
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