# Correlations in Economic Time Series

## Author Info

• Yanhui Liu
• Pierre Cizeau
• Martin Meyer
• Chung-Kang Peng
• H. Eugene Stanley
Registered author(s):

## 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

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File URL: http://arxiv.org/pdf/cond-mat/9706021

## Bibliographic Info

Paper provided by arXiv.org in its series Papers with number cond-mat/9706021.

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 Length: Date of creation: Jun 1997 Date of revision: Handle: RePEc:arx:papers:cond-mat/9706021 Contact details of provider: Web page: http://arxiv.org/

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