The entropy as a tool for analysing statistical dependences in financial time series

The entropy is a concept which may serve to define quantities such as the conditional entropy and the mutual information. Using a novel algorithm for the estimation of the mutual information from data, we analyse several financial time series and demonstrate the usefulness of this new approach. The issues of long-range dependence and non-stationarity are discussed.

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Year of publication:	2000
Authors:	Darbellay, Georges A ; Wuertz, Diethelm
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 287.2000, 3, p. 429-439
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10010590235