The DOI matches its Crossref record; 12 of the 12 references it cites were found in a registry or an index.
Correlations in economic time series
Open accessAbstract
A financial index of the New York stock exchange, the S&P500, is analyzed at 1 min intervals over the 13 yr period, January 84–December 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 tx ∼ 600 min. Detrended fluctuation analysis gives exponents α1 = 0.66 and α2 = 0.93 for t < tx and t > tx, respectively. Power spectrum analysis gives corresponding exponents β1 = 0.31 and β2 = 0.90 for f > fx and f < fx, respectively.
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Cites
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Cited by
Scaling and criticality in a stochastic multi-agent model of a financial market
Lux, T., & Marchesi, M. (1999) · Nature · doi:10.1038/17290 · Cited by 1,526
Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
Plerou, V., Gopikrishnan, P., Rosenow, B., Nunes Amaral, L. A., & Stanley, H. E. (1999) · Physical Review Letters · doi:10.1103/physrevlett.83.1471 · Cited by 1,017
Random matrix approach to cross correlations in financial data
Plerou, V., Gopikrishnan, P., Rosenow, B., Amaral, L. A. N., Guhr, T., & Stanley, H. E. (2002) · Physical Review E · doi:10.1103/physreve.65.066126 · Cited by 936
Scaling of the distribution of fluctuations of financial market indices
Gopikrishnan, P., Plerou, V., Nunes Amaral, L. A., Meyer, M., & Stanley, H. E. (1999) · Physical Review E · doi:10.1103/physreve.60.5305 · Cited by 892
Self-citationMultifractal analysis of financial markets: a review
Jiang, Z.-Q., Xie, W.-J., Zhou, W.-X., & Sornette, D. (2019) · Reports on Progress in Physics · doi:10.1088/1361-6633/ab42fb · Cited by 423
Metadata
- Authors
- Liu, Y., Cizeau, P., Meyer, M., Peng, C.-K., & Eugene Stanley, H.
- Venue
- Physica A: Statistical Mechanics and its Applications
- Publisher
- Elsevier BV
- Published
- 1997-11
- Volume
- 245
- Issue
- 3-4
- Pages
- 437-440
- ISSN
- 0378-4371 (ISSN-L)
- OpenAlex
- W2111417375
- Cited by
- 313
- References
- 12
- FWCI
- 34.52
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Liu, Y., Cizeau, P., Meyer, M., Peng, C.-K., & Eugene Stanley, H. (1997). Correlations in economic time series. Physica A: Statistical Mechanics and its Applications. https://doi.org/10.1016/s0378-4371(97)00368-3
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
