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

Georges A. Darbellay2000

Article2000

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

Georges A. Darbellay · Diethelm Würtz

148 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Time Series Analysis and Forecasting Statistical Mechanics and Entropy

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References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1993A long memory property of stock market returns and a new model 2010A Long Memory Property of Stock Market Returns and a New Model 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 1999A Multifractal Walk down Wall Street 1997Correlations in economic time series 1999Multifractal analysis of foreign exchange data

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2011Multiscale entropy analysis of crude oil price dynamics 2011Efficiency of crude oil markets: Evidences from informational entropy analysis 2014Weighted multiscale permutation entropy of financial time series 2009The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets 2009Efficient factor GARCH models and factor-DCC models 2015On the predictability of energy commodity markets by an entropy-based computational method

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Year2000

Typearticle

Published2000-12-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations148

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0378-4371(00)00382-4

openalex_workW2108786107

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2022An Entropy Approach to Measure the Dynamic Stock Market Efficiency

2021Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach