Mutual information: a measure of dependency for nonlinear time series

Detalhes bibliográficos
Autor(a) principal: Dionísio, Andreia
Data de Publicação: 2004
Outros Autores: Menezes, Rui, Mendes, Diana
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/1818
Resumo: 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.
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spelling Mutual information: a measure of dependency for nonlinear time seriesMutual information; Nonlinear dependence; Efficient market hypothesisThe 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.Elsevier2009-11-16T15:55:47Z2009-11-162004-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article130345 bytesapplication/pdfhttp://hdl.handle.net/10174/1818http://hdl.handle.net/10174/1818eng326-329344Physica Alivreandreia@uevora.ptrui.menezes@iscte.ptdiana.mendes@iscte.pt637Dionísio, AndreiaMenezes, RuiMendes, Dianainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:37:46Zoai:dspace.uevora.pt:10174/1818Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:57:39.553861Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Mutual information: a measure of dependency for nonlinear time series
title Mutual information: a measure of dependency for nonlinear time series
spellingShingle Mutual information: a measure of dependency for nonlinear time series
Dionísio, Andreia
Mutual information; Nonlinear dependence; Efficient market hypothesis
title_short Mutual information: a measure of dependency for nonlinear time series
title_full Mutual information: a measure of dependency for nonlinear time series
title_fullStr Mutual information: a measure of dependency for nonlinear time series
title_full_unstemmed Mutual information: a measure of dependency for nonlinear time series
title_sort Mutual information: a measure of dependency for nonlinear time series
author Dionísio, Andreia
author_facet Dionísio, Andreia
Menezes, Rui
Mendes, Diana
author_role author
author2 Menezes, Rui
Mendes, Diana
author2_role author
author
dc.contributor.author.fl_str_mv Dionísio, Andreia
Menezes, Rui
Mendes, Diana
dc.subject.por.fl_str_mv Mutual information; Nonlinear dependence; Efficient market hypothesis
topic Mutual information; Nonlinear dependence; Efficient market hypothesis
description 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.
publishDate 2004
dc.date.none.fl_str_mv 2004-01-01T00:00:00Z
2009-11-16T15:55:47Z
2009-11-16
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/1818
http://hdl.handle.net/10174/1818
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dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 326-329
344
Physica A
livre
andreia@uevora.pt
rui.menezes@iscte.pt
diana.mendes@iscte.pt
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dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
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