Correlations in Economic Time Series

Yanhui Liu, Pierre Cizeau, Martin Meyer, Chung-Kang Peng and H. Eugene Stanley

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Abstract: The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws with a crossover time t_\times\approx 600 min. Detrended fluctuation analysis gives exponents $\alpha_1=0.66$ and $\alpha_2=0.93$ for $t t_\times$ respectively. Power spectrum analysis gives corresponding exponents $\beta_1=0.31$ and $\beta_2=0.90$ for $f>f_\times$ and $f

Date: 1997-06
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Citations: View citations in EconPapers (89)

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