Information Theory, Inference & Learning Algorithms
Information Theory, Inference & Learning Algorithms
| Hi-index | 0.00 |
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.