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Correlations in economic time series

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Cited by:

  1. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
  2. Weron, Rafal & Weron, Karina & Weron, Aleksander, 1999. "A conditionally exponential decay approach to scaling in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 551-561.
  3. S. M. Duarte Queiros, 2005. "On non-Gaussianity and dependence in financial time series: a nonextensive approach," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 475-487.
  4. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Echeverria, Juan Carlos & Puebla, Hector, 2008. "Correlation analysis of chaotic trajectories from Chua’s system," Chaos, Solitons & Fractals, Elsevier, vol. 36(5), pages 1157-1169.
  5. Thilo A. Schmitt & Rudi Schafer & Holger Dette & Thomas Guhr, 2015. "Quantile Correlations: Uncovering temporal dependencies in financial time series," Papers 1507.04990, arXiv.org.
  6. Z. Sun & P. A. Hamill & Y. Li & Y. C. Yang & S. A. Vigne, 2019. "Did long-memory of liquidity signal the European sovereign debt crisis?," Annals of Operations Research, Springer, vol. 282(1), pages 355-377, November.
  7. Alvarez-Ramirez, J. & Ibarra-Valdez, C. & Rodriguez, E. & Urrea, R., 2007. "Fractality and time correlation in contemporary war," Chaos, Solitons & Fractals, Elsevier, vol. 34(4), pages 1039-1049.
  8. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
  9. Michele Caraglio & Fulvio Baldovin & Attilio L. Stella, 2021. "How Fast Does the Clock of Finance Run?—A Time-Definition Enforcing Stationarity and Quantifying Overnight Duration," JRFM, MDPI, vol. 14(8), pages 1-15, August.
  10. Paulo Ferreira, 2020. "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, vol. 58(4), pages 1541-1573, April.
  11. Muchnik, Lev & Bunde, Armin & Havlin, Shlomo, 2009. "Long term memory in extreme returns of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4145-4150.
  12. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  13. Darbellay, Georges A & Wuertz, Diethelm, 2000. "The entropy as a tool for analysing statistical dependences in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 429-439.
  14. Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2009. "Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1659-1664.
  15. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
  16. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
  17. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW Kiel).
  18. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
  19. Andrea Giuseppe Di Iura & Giulia Terenzi, 2021. "A Bayesian analysis of gain-loss asymmetry," Papers 2104.06044, arXiv.org.
  20. Şahin, Gökhan & Erentürk, Murat & Hacinliyan, Avadis, 2009. "Detrended fluctuation analysis in natural languages using non-corpus parametrization," Chaos, Solitons & Fractals, Elsevier, vol. 41(1), pages 198-205.
  21. Fa-Bin Shi & Xiao-Qian Sun & Jin-Hua Gao & Li Xu & Hua-Wei Shen & Xue-Qi Cheng, 2019. "Anomaly detection in Bitcoin market via price return analysis," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-11, June.
  22. Maria Pia Beccar Varela & Francis Biney & Ionut Florescu, 2015. "Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1365-1374, August.
  23. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
  24. Stanley, H.Eugene, 2003. "Statistical physics and economic fluctuations: do outliers exist?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 318(1), pages 279-292.
  25. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
  26. Rodriguez, E. & Aguilar-Cornejo, M. & Femat, R. & Alvarez-Ramirez, J., 2014. "US stock market efficiency over weekly, monthly, quarterly and yearly time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 554-564.
  27. Xiao, Di & Wang, Jun, 2021. "Attitude interaction for financial price behaviours by contact system with small-world network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
  28. Perini de Souza, Noéle Bissoli & Cardoso dos Santos, José Vicente & Sperandio Nascimento, Erick Giovani & Bandeira Santos, Alex Alisson & Moreira, Davidson Martins, 2022. "Long-range correlations of the wind speed in a northeast region of Brazil," Energy, Elsevier, vol. 243(C).
  29. Thilo A. Schmitt & Rudi Schäfer & Holger Dette & Thomas Guhr, 2015. "Quantile Correlations: Uncovering Temporal Dependencies In Financial Time Series," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-16, November.
  30. D. Delpini & G. Bormetti, 2015. "Stochastic volatility with heterogeneous time scales," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1597-1608, October.
  31. Yuan, Naiming & Fu, Zuntao & Mao, Jiangyu, 2010. "Different scaling behaviors in daily temperature records over China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(19), pages 4087-4095.
  32. Paulo Ferreira & Éder J. A. L. Pereira & Hernane B. B. Pereira, 2020. "The Exposure of European Union Productive Sectors to Oil Price Changes," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
  33. Nunes Amaral, Luís A & Buldyrev, Sergey V & Havlin, Shlomo & Maass, Philipp & Salinger, Michael A & Eugene Stanley, H & Stanley, Michael H.R, 1997. "Scaling behavior in economics: The problem of quantifying company growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 244(1), pages 1-24.
  34. Marco Bartolozzi, 2010. "A Multi Agent Model for the Limit Order Book Dynamics," Papers 1005.0182, arXiv.org, revised Oct 2010.
  35. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  36. Ferreira, Paulo & Loures, Luís & Nunes, José Rato & Dionísio, Andreia, 2017. "The behaviour of share returns of football clubs: An econophysics approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 136-144.
  37. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management.
  38. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
  39. Pirino, Davide, 2009. "Jump detection and long range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1150-1156.
  40. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "The stylized facts of prediction markets: Analysis of price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 159-170.
  41. Olivares, Felipe & Zunino, Luciano, 2020. "Multiscale dynamics under the lens of permutation entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  42. Lin, Shen & Ren, Da & Zhang, Wei & Zhang, Yongjie & Shen, Dehua, 2016. "Network interdependency between social media and stock trading activities: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 305-312.
  43. Danilo Delpini & Giacomo Bormetti, 2012. "Stochastic Volatility with Heterogeneous Time Scales," Papers 1206.0026, arXiv.org, revised Apr 2013.
  44. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.
  45. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
  46. Matassini, Lorenzo & Franci, Fabio, 2001. "On financial markets trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 526-542.
  47. Alvarez-Ramirez, Jose & Ibarra-Valdez, Carlos & Rodriguez, Eduardo & Dagdug, Leonardo, 2008. "1/f-Noise structures in Pollocks's drip paintings," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 281-295.
  48. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
  49. Saha, Debajyoti & Shaw, Pankaj Kumar & Ghosh, Sabuj & Janaki, M.S. & Sekar Iyengar, A.N., 2018. "Quantification of scaling exponent with Crossover type phenomena for different types of forcing in DC glow discharge plasma," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 300-310.
  50. Andrea Di Iura & Giulia Terenzi, 2022. "A Bayesian analysis of gain-loss asymmetry," SN Business & Economics, Springer, vol. 2(5), pages 1-23, May.
  51. L. Borland & J. -Ph. Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Papers physics/0507073, arXiv.org.
  52. Holdom, B, 1998. "From turbulence to financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 254(3), pages 569-576.
  53. Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2010. "Study of memory effects in international market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1653-1664.
  54. Zhang, Hong-Yan & Kang, Ming-Cui & Li, Jing-Qiang & Liu, Hai-Tao, 2017. "R/S analysis of reaction time in Neuron Type Test for human activity in civil aviation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 859-870.
  55. Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
  56. Stavros-Richard G. Christopoulos & Nicholas V. Sarlis, 2017. "An Application of the Coherent Noise Model for the Prediction of Aftershock Magnitude Time Series," Complexity, Hindawi, vol. 2017, pages 1-27, February.
  57. Jiahua Wang & Hongliang Zhu & Dongxin Li, 2018. "Price Dynamics in an Order-Driven Market with Bayesian Learning," Complexity, Hindawi, vol. 2018, pages 1-15, November.
  58. Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.
  59. Lisa Borland & Jean-Philippe Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive 500059, Science & Finance, Capital Fund Management.
  60. Gu, Gao-Feng & Zhou, Wei-Xing, 2007. "Statistical properties of daily ensemble variables in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(2), pages 497-506.
  61. Mariani, M.C. & Libbin, J.D. & Kumar Mani, V. & Beccar Varela, M.P. & Erickson, C.A. & Valles-Rosales, D.J., 2008. "Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1273-1282.
  62. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
  63. Santos, J.V.C. & Moreira, D.M. & Moret, M.A. & Nascimento, E.G.S., 2019. "Analysis of long-range correlations of wind speed in different regions of Bahia and the Abrolhos Archipelago, Brazil," Energy, Elsevier, vol. 167(C), pages 680-687.
  64. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.
  65. Martín-Montoya, L.A. & Aranda-Camacho, N.M. & Quimbay, C.J., 2015. "Long-range correlations and trends in Colombian seismic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 124-133.
  66. Sidorov, S.P. & Faizliev, A.R. & Balash, V.A. & Korobov, E.A., 2016. "Long-range correlation analysis of economic news flow intensity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 205-212.
  67. Serinaldi, Francesco, 2010. "Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2770-2781.
  68. Gilles Zumbach, 2011. "Characterizing heteroskedasticity," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1357-1369, October.
  69. Gajda, Janusz & Bartnicki, Grzegorz & Burnecki, Krzysztof, 2018. "Modeling of water usage by means of ARFIMA–GARCH processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 644-657.
  70. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  71. Wang, Lei & Liu, Lutao, 2020. "Long-range correlation and predictability of Chinese stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  72. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
  73. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
  74. Matthieu Wyart & Jean-Philippe Bouchaud, 2003. "Self-referential behaviour, overreaction and conventions in financial markets," Science & Finance (CFM) working paper archive 500020, Science & Finance, Capital Fund Management.
  75. Schinckus, C., 2013. "Between complexity of modelling and modelling of complexity: An essay on econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3654-3665.
  76. Nick James & Max Menzies, 2023. "Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies," Papers 2304.08902, arXiv.org, revised Jun 2023.
  77. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, vol. 12(2), pages 1-9, January.
  78. Andrea Di Iura, 2022. "Comparison of empirical and shrinkage correlation algorithm for clustering methods in the futures market," SN Business & Economics, Springer, vol. 2(8), pages 1-17, August.
  79. Lu, Feiyu & Yuan, Naiming & Fu, Zuntao & Mao, Jiangyu, 2012. "Universal scaling behaviors of meteorological variables’ volatility and relations with original records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4953-4962.
  80. B. D. Craven & Sardar M. N. Islam, 2015. "Stock Price Modeling: Separation of Trend and Fluctuations, and Implications," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-12, December.
  81. Ferreira, Paulo & Dionísio, Andreia & Correia, José, 2018. "Non-linear dependencies in African stock markets: Was subprime crisis an important factor?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 680-687.
  82. Kang, Sang Hoon & Cho, Hwan-Gue & Yoon, Seong-Min, 2009. "Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3543-3550.
  83. Schinckus, Christophe, 2009. "Economic uncertainty and econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4415-4423.
  84. Hendrik J. Blok, 2000. "On the nature of the stock market: Simulations and experiments," Papers cond-mat/0010211, arXiv.org.
  85. Mahata, Ajit & Bal, Debi Prasad & Nurujjaman, Md, 2020. "Identification of short-term and long-term time scales in stock markets and effect of structural break," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
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