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

Georges A Darbellay and Diethelm Wuertz

Physica A: Statistical Mechanics and its Applications, 2000, vol. 287, issue 3, 429-439

Abstract: 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.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:287:y:2000:i:3:p:429-439

DOI: 10.1016/S0378-4371(00)00382-4

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