What's Non-Linear In Financial Markets?

M. Harré and T. Bossomaier (Australia)


Financial Markets, Mutual Information, Correlation


There have been a number of studies carried out in recent years which have considered the relationships between var ious 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 infor mation techniques. In this paper we discuss the qualita tive empirical differences between these two different tech niques, both statically and dynamically, for 130 highly cap italised equities.

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