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Financial And Other Spatio-Temporal Time Series: Long-Range Correlations And Spectral Properties

Author

Listed:
  • A. CHAKRABORTI

    (Brookhaven National Laboratory, Department of Physics, Upton, New York 11973, USA)

  • M. S. SANTHANAM

    (Physical Research Laboratory, Navrangpura, Ahmedabad 380 009, India)

Abstract

In this paper, we review some of the properties of financial and other spatio-temporal time series generated from coupled map lattices, GARCH(1,1) processes and random processes (for which analytical results are known). We use the Hurst exponent (R/S analysis) and detrended fluctuation analysis as the tools to study the long-time correlations in the time series. We also compare the eigenvalue properties of the empirical correlation matrices, especially in relation to random matrices.

Suggested Citation

  • A. Chakraborti & M. S. Santhanam, 2005. "Financial And Other Spatio-Temporal Time Series: Long-Range Correlations And Spectral Properties," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 16(11), pages 1733-1743.
    • Handle: RePEc:wsi:ijmpcx:v:16:y:2005:i:11:n:s0129183105008230
    DOI: 10.1142/S0129183105008230
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