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Correlations in financial time series: established versus emerging markets

Author

Listed:
  • M. Beben

    (Szkoła Nauk Ścisłych - College of Sciences, Aleja Lotników 32/46, 02-668 Warszawa, Poland)

  • A. Orłowski

    (Instytut Fizyki PAN, Aleja Lotników 32/46, 02-668 Warszawa, Poland Katedra Ekonometrii i Informatyki, SGGW, Ul. Nowoursynowska 166, 02-787 Warszawa, Poland)

Abstract

Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed.

Suggested Citation

  • M. Beben & A. Orłowski, 2001. "Correlations in financial time series: established versus emerging markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 527-530, April.
    • Handle: RePEc:spr:eurphb:v:20:y:2001:i:4:d:10.1007_s100510170233
    DOI: 10.1007/s100510170233
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    Cited by:

    1. Yuecai Han & Xudong Zheng, 2022. "Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model," Papers 2210.15453, arXiv.org.
    2. Zhao, Pan & Pan, Jian & Yue, Qin & Zhang, Jinbo, 2021. "Pricing of financial derivatives based on the Tsallis statistical theory," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    3. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
    4. Sánchez-Granero, M.A. & Balladares, K.A. & Ramos-Requena, J.P. & Trinidad-Segovia, J.E., 2020. "Testing the efficient market hypothesis in Latin American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    5. Masanori Hirano & Kentaro Minami & Kentaro Imajo, 2023. "Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling," Papers 2307.13217, arXiv.org.
    6. Mateos, Diego M. & Zozor, Steeve & Olivares, Felipe, 2020. "Contrasting stochasticity with chaos in a permutation Lempel–Ziv complexity — Shannon entropy plane," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).

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