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An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series

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  • Alexander Schnurr

Abstract

We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative) correlation. We show in an explorative study that both types of this dependence show up in real world financial data. Copyright Springer-Verlag Berlin Heidelberg 2014

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  • Alexander Schnurr, 2014. "An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series," Statistical Papers, Springer, vol. 55(4), pages 919-931, November.
    • Handle: RePEc:spr:stpapr:v:55:y:2014:i:4:p:919-931
    DOI: 10.1007/s00362-013-0536-8
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    References listed on IDEAS

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    Cited by:

    1. Christoph Bandt, 2020. "Order patterns, their variation and change points in financial time series and Brownian motion," Statistical Papers, Springer, vol. 61(4), pages 1565-1588, August.
    2. Fernando López & Mariano Matilla-García & Jesús Mur & Manuel Ruiz Marín, 2021. "Statistical Tests of Symbolic Dynamics," Mathematics, MDPI, vol. 9(8), pages 1-21, April.
    3. Schnurr, Alexander & Fischer, Svenja, 2022. "Generalized ordinal patterns allowing for ties and their applications in hydrology," Computational Statistics & Data Analysis, Elsevier, vol. 171(C).
    4. Annika Betken & Jannis Buchsteiner & Herold Dehling & Ines Münker & Alexander Schnurr & Jeannette H.C. Woerner, 2021. "Ordinal patterns in long‐range dependent time series," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 969-1000, September.
    5. Christoph Bandt, 2019. "Order patterns, their variation and change points in financial time series and Brownian motion," Papers 1910.09978, arXiv.org.
    6. Betken, Annika & Dehling, Herold & Nüßgen, Ines & Schnurr, Alexander, 2021. "Ordinal pattern dependence as a multivariate dependence measure," Journal of Multivariate Analysis, Elsevier, vol. 186(C).

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