IDEAS home Printed from
   My bibliography  Save this article

Power-law autocorrelated stochastic processes with long-range cross-correlations


  • B. Podobnik
  • D. F. Fu


  • H. E. Stanley
  • P. Ch. Ivanov



We develop a stochastic process with two coupled variables where the absolute values of each variable exhibit long-range power-law autocorrelations and are also long-range cross-correlated. We investigate how the scaling exponents characterizing power-law autocorrelation and long-range cross-correlation behavior in the absolute values of the generated variables depend on the two parameters in our model. In particular, if the autocorrelation is stronger, the cross-correlation is also stronger. We test the utility of our approach by comparing the autocorrelation and cross-correlation properties of the time series generated by our model with data on daily returns over ten years for two major financial indices, the Dow Jones and the S&P500, and on daily returns of two well-known company stocks, IBM and Microsoft, over five years. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Suggested Citation

  • B. Podobnik & D. F. Fu & H. E. Stanley & P. Ch. Ivanov, 2007. "Power-law autocorrelated stochastic processes with long-range cross-correlations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 56(1), pages 47-52, March.
  • Handle: RePEc:spr:eurphb:v:56:y:2007:i:1:p:47-52
    DOI: 10.1140/epjb/e2007-00089-3

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurphb:v:56:y:2007:i:1:p:47-52. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.