Correlations in Economic Time Series

Дата и время публикации : 1997-06-03T13:26:04Z

Авторы публикации и институты :
Yanhui Liu
Pierre Cizeau
Martin Meyer
Chung-Kang Peng
H. Eugene Stanley

Ссылка на журнал-издание: Ссылка на журнал-издание не найдена
Коментарии к cтатье: 6 pages, 2 figures
Первичная категория: cond-mat.stat-mech

Все категории : cond-mat.stat-mech, q-fin.ST

Краткий обзор статьи: The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 — Dec 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws with a crossover time t_timesapprox 600 min. Detrended fluctuation analysis gives exponents $alpha_1=0.66$ and $alpha_2=0.93$ for $t<t_times$ and $t>t_times$ respectively. Power spectrum analysis gives corresponding exponents $beta_1=0.31$ and $beta_2=0.90$ for $f>f_times$ and $f< f_times$ respectively.

Category: Physics