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

0410488 20240103182217.720060210235959.9 The entropy as a tool for analysing statistical dependences in financial time series 11 s. cav_un_epca*02574230378-4371Physica. A : Statistical Mechanics and its Applications287429-439Elsevier cav_un_auth*0101078 Darbellay Georges A. UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0212721 Wuertz D. CH 09J KSK1075601 GA AV CZ cav_un_auth*0027435 AV0Z1075907 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. BD SI http://hdl.handle.net/11104/0130577 UTIA-B 20000204 2000 cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 287 - 2000 429 439 Elsevier