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Mutual information: a measure of dependency for nonlinear time series

Dionísio, A., R. Menezes, D.A. Mendes (2004), "Mutual information: a measure of dependency for nonlinear time series", Physica A, 344(1/2), 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