Information Theory: a Key to Analyse Statistical Dependences in Financial Time Series
نویسندگان
چکیده
Some concepts of information theory, as entropy, conditional entropy and mutual information may be very useful to analyse several financial time series, especially statistical dependences. Trough the similarity between those measures and variance analysis is possible to get a new approach to study the level of statistical dependences in financial time series. KEY-WORDS: entropy, conditional entropy, mutual information, statistical dependence
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تاریخ انتشار 2002