Português
Ciência_Iscte
Publications
Publication Detailed Description
Mutual information: a measure of dependency for nonlinear time series
Journal Title
Physica A
Year (definitive publication)
2004
Language
English
Country
Netherlands
More Information
Web of Science®
Scopus
Google Scholar
Abstract
The main goal of the paper is to show how mutual information can be used as a measure of dependence in financial time series. One major advantage of this approach resides precisely in its ability to account for nonlinear dependencies with no need to specify a theoretical probability distribution or use of a mean-variance model.
Acknowledgements
--
Keywords
Mutual information,Nnonlinear dependence,Efficient market hypothesis
Fields of Science and Technology Classification
- Physical Sciences - Natural Sciences
