The entropy as a tool for analysing statistical dependences in financial time series
- 1 December 2000
- journal article
- Published by Elsevier in Physica A: Statistical Mechanics and its Applications
- Vol. 287 (3-4) , 429-439
- https://doi.org/10.1016/s0378-4371(00)00382-4
Abstract
No abstract availableThis publication has 11 references indexed in Scilit:
- Local order, entropy and predictability of financial time seriesZeitschrift für Physik B Condensed Matter, 2000
- An estimator of the mutual information based on a criterion for conditional independenceComputational Statistics & Data Analysis, 1999
- Estimation of the information by an adaptive partitioning of the observation spaceIEEE Transactions on Information Theory, 1999
- Multifractal analysis of foreign exchange dataApplied Stochastic Models and Data Analysis, 1999
- A Multifractal Walk down Wall StreetScientific American, 1999
- A tight upper bound on the gain of linear and nonlinear predictors for stationary stochastic processesIEEE Transactions on Signal Processing, 1998
- Correlations in economic time seriesPhysica A: Statistical Mechanics and its Applications, 1997
- Scaling in currency exchangePhysica A: Statistical Mechanics and its Applications, 1997
- A geographical model for the daily and weekly seasonal volatility in the foreign exchange marketJournal of International Money and Finance, 1993
- A long memory property of stock market returns and a new modelJournal of Empirical Finance, 1993