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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Volume (Year): 287 (2000)
Issue (Month): 3 ()
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