Power-law autocorrelated stochastic processes with long-range cross-correlations

B. Podobnik, D. F. Fu (), H. E. Stanley and P. Ch. Ivanov ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2007, vol. 56, issue 1, 47-52

Abstract: We develop a stochastic process with two coupled variables where the absolute values of each variable exhibit long-range power-law autocorrelations and are also long-range cross-correlated. We investigate how the scaling exponents characterizing power-law autocorrelation and long-range cross-correlation behavior in the absolute values of the generated variables depend on the two parameters in our model. In particular, if the autocorrelation is stronger, the cross-correlation is also stronger. We test the utility of our approach by comparing the autocorrelation and cross-correlation properties of the time series generated by our model with data on daily returns over ten years for two major financial indices, the Dow Jones and the S&P500, and on daily returns of two well-known company stocks, IBM and Microsoft, over five years. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

Keywords: 89.90.+n Other topic in areas of applied and interdisciplinary physics; 05.45.Tp Time series analysis; 05.40.Fb Random walks and Levy flights (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (53)

Downloads: (external link)
http://hdl.handle.net/10.1140/epjb/e2007-00089-3 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:56:y:2007:i:1:p:47-52

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10051

DOI: 10.1140/epjb/e2007-00089-3

Access Statistics for this article

The European Physical Journal B: Condensed Matter and Complex Systems is currently edited by P. Hänggi and Angel Rubio

More articles in The European Physical Journal B: Condensed Matter and Complex Systems from Springer, EDP Sciences
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().