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Correlations in Economic Time Series

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Listed:
  • Yanhui Liu
  • Pierre Cizeau
  • Martin Meyer
  • Chung-Kang Peng
  • H. Eugene Stanley

Abstract

The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws with a crossover time t_\times\approx 600 min. Detrended fluctuation analysis gives exponents $\alpha_1=0.66$ and $\alpha_2=0.93$ for $t t_\times$ respectively. Power spectrum analysis gives corresponding exponents $\beta_1=0.31$ and $\beta_2=0.90$ for $f>f_\times$ and $f

Suggested Citation

  • Yanhui Liu & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1997. "Correlations in Economic Time Series," Papers cond-mat/9706021, arXiv.org.
  • Handle: RePEc:arx:papers:cond-mat/9706021
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