Mutual information: a measure of dependency for nonlinear time series

Andreia Dionisio, Rui Menezes () and Diana A. Mendes

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 326-329

Abstract: The main goal of the paper is to show how mutual information can be used as a measure of dependence in financial time series. One major advantage of this approach resides precisely in its ability to account for nonlinear dependencies with no need to specify a theoretical probability distribution or use of a mean-variance model.

Keywords: Mutual information; Nonlinear dependence; Efficient market hypothesis (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:326-329

DOI: 10.1016/j.physa.2004.06.144

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