MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES

DOI10.1142/S0219525909002325zbMath1187.91228arXiv1001.0497OpenAlexW2068616077MaRDI QIDQ3644885

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Publication date: 13 November 2009

Published in: Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.0497

zbMATH Keywords

high-frequency datacross correlationeconophysicsEpps effecteigenspectrum analysiswavelet multiscaling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

• Time series properties of an artificial stock market
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• Theory of Financial Risk and Derivative Pricing
• Towards identifying the world stock market cross-correlations: DAX versus Dow Jones
• Collective behavior of stock price movements - a random matrix theory approach
• Unnamed Item