# CORRELATIONS IN ECONOMIC TIME SERIES

@article{Liu1997CORRELATIONSIE,
title={CORRELATIONS IN ECONOMIC TIME SERIES},
author={Y. Liu and P. Cizeau and M. Meyer and Chung-Kang Peng and H. Stanley},
journal={Physica A-statistical Mechanics and Its Applications},
year={1997},
volume={245},
pages={437-440}
}
• Y. Liu, +2 authors H. Stanley
• Published 1997
• Mathematics, Physics, Economics
• Physica A-statistical Mechanics and Its Applications
• The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 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_\times\approx 600 min. Detrended fluctuation analysis gives exponents $\alpha_1=0.66$ and $\alpha_2=0.93$ for $t t_\times$ respectively. Power spectrum… CONTINUE READING
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