What's non-linear in financial markets?

被引：0

作者：

Harre, Michael ^{[1
]}

Bossomaier, Terry ^{[1
]}

机构：

[1] Charles Sturt Univ, Ctr Res Complex Syst, Bathurst, NSW 2795, Australia

来源：

PROCEEDINGS OF THE 16TH IASTED INTERNATIONAL CONFERENCE ON APPLIED SIMULATION AND MODELLING | 2007年

关键词：

financial markets; mutual information; correlation;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

There have been a number of studies carried out in recent years which have considered the relationships between various financial entities and their dynamics over time. Work in this area has been dominated by two types of measure: the standard correlation coefficients and the mutual information techniques. In this paper we discuss the qualitative empirical differences between these two different techniques, both statically and dynamically, for 130 highly capitalised equities.

引用

页码：469 / 473

页数：5

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