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Long-range correlation analysis of economic news flow intensity

Author

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  • Sidorov, S.P.
  • Faizliev, A.R.
  • Balash, V.A.
  • Korobov, E.A.

Abstract

The goal of the paper is to examine the auto-correlation properties for time series of the news flow intensity using different methods, such as the fluctuation analysis, the detrended fluctuation analysis and the detrending moving average analysis. Empirical findings for news analytics data show the presence of long-range correlations for the time series of news intensity data.

Suggested Citation

  • Sidorov, S.P. & Faizliev, A.R. & Balash, V.A. & Korobov, E.A., 2016. "Long-range correlation analysis of economic news flow intensity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 205-212.
    • Handle: RePEc:eee:phsmap:v:444:y:2016:i:c:p:205-212
    DOI: 10.1016/j.physa.2015.10.025
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    3. Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.

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