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Correlations in Economic Time Series

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  • 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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    1. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
    2. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    3. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    4. Marc Potters & Rama Cont & Jean-Philippe Bouchaud, 1996. "Financial markets as adaptative systems," Science & Finance (CFM) working paper archive 500037, Science & Finance, Capital Fund Management.
    5. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Science & Finance (CFM) working paper archive 9705087, Science & Finance, Capital Fund Management.
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