FINANCIAL AND OTHER SPATIO-TEMPORAL TIME SERIES: LONG-RANGE CORRELATIONS AND SPECTRAL PROPERTIES

A. Chakraborti () and M. S. Santhanam ()
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A. Chakraborti: Brookhaven National Laboratory, Department of Physics, Upton, New York 11973, USA
M. S. Santhanam: Physical Research Laboratory, Navrangpura, Ahmedabad 380 009, India

International Journal of Modern Physics C (IJMPC), 2005, vol. 16, issue 11, 1733-1743

Abstract: In this paper, we review some of the properties of financial and other spatio-temporal time series generated from coupled map lattices, GARCH(1,1) processes and random processes (for which analytical results are known). We use the Hurst exponent (R/S analysis) and detrended fluctuation analysis as the tools to study the long-time correlations in the time series. We also compare the eigenvalue properties of the empirical correlation matrices, especially in relation to random matrices.

Keywords: Financial time series; spatio temporal data; GARCH; coupled map lattice; 05.45.Tp; 02.50.Sk; 05.40.-a; 05.45.Ra; 89.75.Fb (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1142/S0129183105008230

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