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Low-order variability diagrams for short-range correlation evidence in financial data: BGL-USD exchange rate, Dow Jones industrial average, gold ounce price


  • Ivanova, K
  • Ausloos, M


A method to sort out short-range correlations and decorrelations in financial data is tested on three typical sets: the Bulgarian Lev-USA Dollar (BGL/USD) exchange rate, the Dow Jones Industrial Average, the Gold ounce price. The method makes use of the so-called variability diagram technique. Three toys are used as models in order to understand features. Our findings indicate that some predictability can be found at short-range time intervals.

Suggested Citation

  • Ivanova, K & Ausloos, M, 1999. "Low-order variability diagrams for short-range correlation evidence in financial data: BGL-USD exchange rate, Dow Jones industrial average, gold ounce price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 265(1), pages 279-291.
  • Handle: RePEc:eee:phsmap:v:265:y:1999:i:1:p:279-291
    DOI: 10.1016/S0378-4371(98)00562-7

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    Cited by:

    1. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.


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