Darbellay, Georges A; Wuertz, Diethelm - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 429-439
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....
