Long-range correlation analysis of economic news flow intensity

S.P. Sidorov, A.R. Faizliev, V.A. Balash and E.A. Korobov
Authors registered in the RePEc Author Service: Владимир Алексеевич Балаш

Physica A: Statistical Mechanics and its Applications, 2016, vol. 444, issue C, 205-212

Abstract: The goal of the paper is to examine the auto-correlation properties for time series of the news flow intensity using different methods, such as the fluctuation analysis, the detrended fluctuation analysis and the detrending moving average analysis. Empirical findings for news analytics data show the presence of long-range correlations for the time series of news intensity data.

Keywords: Long-range correlation; Detrended fluctuation analysis; Time series; Auto-correlation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:444:y:2016:i:c:p:205-212

DOI: 10.1016/j.physa.2015.10.025

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