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Correlation structures in short-term variabilities of stock indices and exchange rates

Author

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  • Nakamura, Tomomichi
  • Small, Michael

Abstract

Financial data usually show irregular fluctuations and some trends. We investigate whether there are correlation structures in short-term variabilities (irregular fluctuations) among financial data from the viewpoint of deterministic dynamical systems. Our method is based on the small-shuffle surrogate method. The data we use are daily closing price of Standard & Poor's 500 and the volume, and daily foreign exchange rates, Euro/US Dollar (USD), British Pound/USD and Japanese Yen/USD. We found that these data are not independent.

Suggested Citation

  • Nakamura, Tomomichi & Small, Michael, 2007. "Correlation structures in short-term variabilities of stock indices and exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 96-101.
    • Handle: RePEc:eee:phsmap:v:383:y:2007:i:1:p:96-101
    DOI: 10.1016/j.physa.2007.04.103
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    Cited by:

    1. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2018. "Collective behavior of cryptocurrency price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 499-509.
    2. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.
    3. Zhu, Jia & Wei, Daijun, 2021. "Analysis of stock market based on visibility graph and structure entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 576(C).

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