Parameter motivated mutual correlation analysis: Application to the study of currency exchange rates based on intermittency parameter and Hurst exponent

Constantin P. Cristescu, Cristina Stan, Eugen I. Scarlat, Teofil Minea and Cristina M. Cristescu

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 8, 2623-2635

Abstract: We present a novel method for the parameter oriented analysis of mutual correlation between independent time series or between equivalent structures such as ordered data sets. The proposed method is based on the sliding window technique, defines a new type of correlation measure and can be applied to time series from all domains of science and technology, experimental or simulated. A specific parameter that can characterize the time series is computed for each window and a cross correlation analysis is carried out on the set of values obtained for the time series under investigation. We apply this method to the study of some currency daily exchange rates from the point of view of the Hurst exponent and the intermittency parameter. Interesting correlation relationships are revealed and a tentative crisis prediction is presented.

Keywords: Mutual correlation; Sliding window; Multifractal analysis; Exchange rate time series (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:8:p:2623-2635

DOI: 10.1016/j.physa.2011.12.006

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