Correlation structures in short-term variabilities of stock indices and exchange rates

Tomomichi Nakamura and Michael Small

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 96-101

Abstract: Financial data usually show irregular fluctuations and some trends. We investigate whether there are correlation structures in short-term variabilities (irregular fluctuations) among financial data from the viewpoint of deterministic dynamical systems. Our method is based on the small-shuffle surrogate method. The data we use are daily closing price of Standard & Poor's 500 and the volume, and daily foreign exchange rates, Euro/US Dollar (USD), British Pound/USD and Japanese Yen/USD. We found that these data are not independent.

Keywords: Correlations structures; Econophysics; Financial data; Surrogate data (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:96-101

DOI: 10.1016/j.physa.2007.04.103

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