| 金融市场中的交互信息 |
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| 引用本文： | 杨辉,王浣尘.金融市场中的交互信息[J].上海交通大学学报,1998,32(12):86-87,91. |
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| 作者姓名： | 杨辉 王浣尘 |
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| 作者单位： | 上海交通大学管理学院 |
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| 摘 要： | 在金融市场应用方面强调了在构造状态空间时选择最佳时间延滞的重要性，选择时间延滞的单值系统方法具有局限性，分析金融时间序列需要一个测量相关性更一般的方法，运用交互信息准则测量相关性，提出了基于金融时间序列的交互信息准则的新方法，当金融时间序列为高斯分布，选择时间延滞的两种方法具有相同的结果。
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| 关 键 词： | 金融市场 时间序列 时间延滞 交互信息 |
Mutual Information in Financial Market |
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| Yang Hui,Wang Huanchen School of Management,Shanghai Jiaotong University,China.Mutual Information in Financial Market[J].Journal of Shanghai Jiaotong University,1998,32(12):86-87,91. |
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| Authors: | Yang Hui Wang Huanchen School of Management Shanghai Jiaotong University China |
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| Abstract: | The importance of the selection time delay in constructing the phase space in financial market is stressed. The singular value system method used for the selection time delay has its limitation. The more general method used for measuring the dependence in analysing financial time series is needed. The dependence is measured by a mutual information criterion. A new method of mutual information criterion based on financial time series is presented. When the financial time series is Gaussian distribution, the two methods of selection time delay will have the same result. |
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| Keywords: | financial market financial time series time delay mutual information |
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