Low-order variability diagrams for short-range correlation evidence in financial data: BGL-USD exchange rate, Dow Jones industrial average, gold ounce price

K Ivanova and Marcel Ausloos

Physica A: Statistical Mechanics and its Applications, 1999, vol. 265, issue 1, 279-291

Abstract: A method to sort out short-range correlations and decorrelations in financial data is tested on three typical sets: the Bulgarian Lev-USA Dollar (BGL/USD) exchange rate, the Dow Jones Industrial Average, the Gold ounce price. The method makes use of the so-called variability diagram technique. Three toys are used as models in order to understand features. Our findings indicate that some predictability can be found at short-range time intervals.

Keywords: Low-order variability diagrams; Short-range correlations and decorrelations; BGL-USD exchange rate; Dow-Jones industrial average; Gold ounce price (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:265:y:1999:i:1:p:279-291

DOI: 10.1016/S0378-4371(98)00562-7

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