Dynamic fluctuations of cross-correlations in multi-time scale

Fang-Yan Ouyang, Bo Zheng and Xiong-Fei Jiang

Physica A: Statistical Mechanics and its Applications, 2019, vol. 517, issue C, 515-521

Abstract: With the empirical mode decomposition, we investigate the dynamic fluctuations of cross-correlations in multi-time scale. In this approach, the time series of price returns in financial markets is decomposed into a small number of intrinsic mode functions, and the corresponding time series of phases can be obtained with the Hilbert transform. Through the empirical mode decomposition, we uncover that the cross-correlations between stocks change significantly for different time scales and exhibit singular behaviors during a financial crisis. With the phase correlation analysis, we observe that the cross-correlations between market indices vary also for different time scales. Dividing the total time interval into two sub-intervals by the year 2007, we detect that the market indices are much more correlated after 2007.

Keywords: Cross-correlations; Dynamic behaviors; Empirical mode decomposition; Multi-time scale (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:517:y:2019:i:c:p:515-521

DOI: 10.1016/j.physa.2018.11.033

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