Correlations in economic time series
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 84December 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 t_{x} ∼ 600 min. Detrended fluctuation analysis gives exponents α_{1} = 0.66 and α_{2} = 0.93 for t < t_{x} and t > t_{x}, respectively. Power spectrum analysis gives corresponding exponents β_{1} = 0.31 and β_{2} = 0.90 for f > f_{x} and f < f_{x}, respectively.
 Publication:

Physica A Statistical Mechanics and its Applications
 Pub Date:
 February 1997
 DOI:
 10.1016/S03784371(97)003683
 arXiv:
 arXiv:condmat/9706021
 Bibcode:
 1997PhyA..245..437L
 Keywords:

 Condensed Matter  Statistical Mechanics;
 Quantitative Finance  Statistical Finance
 EPrint:
 6 pages, 2 figures