Table 2.

Full set of parameter range for the ARFIMA (1,d,1) processes simulated in this work. Specifically, D is the fractal dimension, H is the Hurst exponent and d is the differencing parameter (1st, 2nd and 3rd columns) which are related by Equation (20), $\varphi$ is the autoregressive parameter (4th column), and $\theta$ is the moving average parameter (5th column). Label refers to each parameter set (6th column). Specifically, cluster entropy results for the parameter sets: [a1], [b1], [e1], [f1], [i1], [l1] are plotted in Figure 4 (M = 1) and Figure 5 (M = 12), while the Market Dynamic Index is plotted in Figure 6.

D	H	d	$\mathit{\varphi }$	$\mathit{\theta }$	$\mathit{Label}$
1.45	0.55	0.05	0.20	0.90	a1
			0.90	0.20	b1
1.40	0.60	0.10	0.20	0.90	c1
			0.90	0.20	d1
1.35	0.65	0.15	0.20	0.90	e1
			0.90	0.20	f1
1.30	0.70	0.20	0.20	0.90	g1
			0.90	0.20	h1
1.25	0.75	0.25	0.20	0.90	i1
			0.30	0.40	j1
				0.85	k1
			0.90	0.20	l1
				0.40	m1
				0.85	n1
1.20	0.80	0.30	0.20	0.90	o1
			0.90	0.20	p1
1.02	0.98	0.48	0.30	0.40	q1
				0.85	r1
			0.90	0.40	s1
				0.85	t1