IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Phase Distribution and Phase Correlation of Financial Time Series

  • Ming-Chya Wu

    (Academic Sinica, Taiwan)

  • Ming-Chang Huang

    (Chung Yuan University, Taiwan)

  • Hai-Chin Yu

    (Chung Yuan University, Taiwan)

  • Thomas Chiang

    (Drexel University, USA)

Scaling, phase distribution and phase correlation of financial time series are investigated based on the Dow Jones Industry Average (DJIA) and NASDAQ 10-minute intraday data for a period from Aug. 1 1997 to Dec. 31 2003. The returns of the two indices are shown to have nice scaling behaviors and belong to stable distributions according to the criterion of Levy's alpha stable distribution condition. A novel approach catching characteristic features of financial time series based on the concept of instantaneous phase is further proposed to study phase distribution and correlation. The analysis of phase distribution concludes return time series fall into a class which is different from other non-stationary time series. The correlation between returns of the two indices probed by the distribution of phase difference indicates there was a remarkable change of trading activities after the event of 911 attack, and this change persisted in later trading activities.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Paper provided by EconWPA in its series Finance with number 0512013.

in new window

Length: 20 pages
Date of creation: 10 Dec 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0512013
Note: Type of Document - pdf; pages: 20
Contact details of provider: Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0512013. 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: (EconWPA)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.