A Study of Correlation and Entropy for Multiple Time Series

摘要: In this work we study multiple related (multivariate) time series from worldwide markets. We search for signs of coherence and/or synchronization using the main index as representative whole market. order to better understand relations between use two different techniques, entropy and variance-covariance matrices. apply each procedure in a dependent way underlying dynamics system. found that both methods show world markets, regardless their maturity status (mature or emergent), are behaving more alike over last years. The simultaneous correlation multivariate is promising approach sense they capture aspects collective system dynamics.