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Publication Detailed Description
Scientific journal paper
Q1
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
Publication Identifiers
| 2-s2.0-34249817075 | |
| 10.1016/j.physa.2004.06.144 | |
| 2-s2.0-5444260163 | |
| 10.1016/j.physa.2004.06.144 | |
| 000224995100063 | |
| WOS:000224995100063 | |
| http://hdl.handle.net/10071/13988 | |
| 000224995100063 | |
| 2-s2.0-5444260163 | |
| ci-pub-14592 | |
| 0378-4371 |
Other Publication Details
Citations
- Citation Indexes: 159
- Patent Family Citations: 1
- Policy Citations: 1
Captures
- Readers: 163
