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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
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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
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Keywords
Mutual information,Nnonlinear dependence,Efficient market hypothesis
Fields of Science and Technology Classification
- Physical Sciences - Natural Sciences
