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Correlations in economic time series

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  • Liu, Yanhui
  • Cizeau, Pierre
  • Meyer, Martin
  • Peng, C.-K.
  • Eugene Stanley, H.

Abstract

A financial index of the New York stock exchange, the S&P500, is analyzed at 1 min intervals over the 13 yr period, January 84–December 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 tx ∼ 600 min. Detrended fluctuation analysis gives exponents α1 = 0.66 and α2 = 0.93 for t < tx and t > tx, respectively. Power spectrum analysis gives corresponding exponents β1 = 0.31 and β2 = 0.90 for f > fx and f < fx, respectively.

Suggested Citation

  • Liu, Yanhui & Cizeau, Pierre & Meyer, Martin & Peng, C.-K. & Eugene Stanley, H., 1997. "Correlations in economic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 437-440.
    • Handle: RePEc:eee:phsmap:v:245:y:1997:i:3:p:437-440
    DOI: 10.1016/S0378-4371(97)00368-3
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    1. Stanley, H.E. & Buldyrev, S.V. & Goldberger, A.L. & Goldberger, Z.D. & Havlin, S. & Mantegna, R.N. & Ossadnik, S.M. & Peng, C.-K. & Simons, M., 1994. "Statistical mechanics in biology: how ubiquitous are long-range correlations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 205(1), pages 214-253.
    2. Jean-Philippe Bouchaud & Didier Sornette, 1994. "The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes," Science & Finance (CFM) working paper archive 500040, Science & Finance, Capital Fund Management.
    3. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
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