Matilla-García, Mariano; Marín, Manuel Ruiz; Dore, … - In: Physica A: Statistical Mechanics and its Applications 398 (2014) C, pp. 280-288
The purpose of this paper is to propose a newly developed non-parametric test for linear and nonlinear causality based on permutation entropy and to show its usefulness in analyzing the potential causal relationship between trading volume and security prices. Most of the empirical applications...