منابع مشابه
Correlations in Economic Time Series
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1min 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× ≈ 600min. Detrended fluctuation analysis gives exponents...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 1997
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(97)00368-3