Mutual information: a measure of dependency for nonlinear time series

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.

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Year of publication:	2004
Authors:	Dionisio, Andreia ; Menezes, Rui ; Mendes, Diana A.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 326-329
Publisher:	Elsevier
Subject:	Mutual information \| Nonlinear dependence \| Efficient market hypothesis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010588924