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Dynamic fluctuations of cross-correlations in multi-time scale

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  • Ouyang, Fang-Yan
  • Zheng, Bo
  • Jiang, Xiong-Fei

Abstract

With the empirical mode decomposition, we investigate the dynamic fluctuations of cross-correlations in multi-time scale. In this approach, the time series of price returns in financial markets is decomposed into a small number of intrinsic mode functions, and the corresponding time series of phases can be obtained with the Hilbert transform. Through the empirical mode decomposition, we uncover that the cross-correlations between stocks change significantly for different time scales and exhibit singular behaviors during a financial crisis. With the phase correlation analysis, we observe that the cross-correlations between market indices vary also for different time scales. Dividing the total time interval into two sub-intervals by the year 2007, we detect that the market indices are much more correlated after 2007.

Suggested Citation

  • Ouyang, Fang-Yan & Zheng, Bo & Jiang, Xiong-Fei, 2019. "Dynamic fluctuations of cross-correlations in multi-time scale," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 515-521.
    • Handle: RePEc:eee:phsmap:v:517:y:2019:i:c:p:515-521
    DOI: 10.1016/j.physa.2018.11.033
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