IDEAS home Printed from https://ideas.repec.org/a/spr/eurphb/v20y2001i4d10.1007_s100510170233.html
   My bibliography  Save this article

Correlations in financial time series: established versus emerging markets

Author

Listed:
  • M. Beben

    (Szkoła Nauk Ścisłych - College of Sciences, Aleja Lotników 32/46, 02-668 Warszawa, Poland)

  • A. Orłowski

    (Instytut Fizyki PAN, Aleja Lotników 32/46, 02-668 Warszawa, Poland Katedra Ekonometrii i Informatyki, SGGW, Ul. Nowoursynowska 166, 02-787 Warszawa, Poland)

Abstract

Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed.

Suggested Citation

  • M. Beben & A. Orłowski, 2001. "Correlations in financial time series: established versus emerging markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 527-530, April.
    • Handle: RePEc:spr:eurphb:v:20:y:2001:i:4:d:10.1007_s100510170233
    DOI: 10.1007/s100510170233
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s100510170233
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s100510170233?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhao, Pan & Pan, Jian & Yue, Qin & Zhang, Jinbo, 2021. "Pricing of financial derivatives based on the Tsallis statistical theory," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    2. Luca Di Persio & Tamirat Temesgen Dufera, 2024. "Deep Neural Network Model for Hurst Exponent: Learning from R/S Analysis," Mathematics, MDPI, vol. 12(22), pages 1-26, November.
    3. Mateos, Diego M. & Zozor, Steeve & Olivares, Felipe, 2020. "Contrasting stochasticity with chaos in a permutation Lempel–Ziv complexity — Shannon entropy plane," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    4. Yuecai Han & Xudong Zheng, 2022. "Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model," Papers 2210.15453, arXiv.org.
    5. Sánchez-Granero, M.A. & Balladares, K.A. & Ramos-Requena, J.P. & Trinidad-Segovia, J.E., 2020. "Testing the efficient market hypothesis in Latin American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    6. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
    7. Masanori Hirano & Kentaro Minami & Kentaro Imajo, 2023. "Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling," Papers 2307.13217, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurphb:v:20:y:2001:i:4:d:10.1007_s100510170233. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.