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

被引：96

作者：

Darbellay, GA ^{[1
]}

Wuertz, D

机构：

[1] Ecole Polytech Fed Lausanne, Lab Traitement Signaux, CH-1015 Lausanne, Switzerland

[2] AV CR, Ustav Teor Informace Automatizace, CZ-18208 Prague, Czech Republic

[3] Swiss Fed Inst Technol, Inst Theoret Phys, CH-8093 Zurich, Switzerland

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2000年 / 287卷 / 3-4期

关键词：

D O I：

10.1016/S0378-4371(00)00382-4

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 lung-range dependence and non-stationarity are discussed. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：429 / 439

页数：11

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