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15 June 2007 A method for detecting complex correlation in time series
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Proceedings Volume 6601, Noise and Stochastics in Complex Systems and Finance; 66010H (2007) https://doi.org/10.1117/12.725330
Event: SPIE Fourth International Symposium on Fluctuations and Noise, 2007, Florence, Italy
Abstract
We propose a new method for detecting complex correlations in time series of limited size. The method is derived by the Spitzer's identity and proves to work successfully on different model processes, including the ARCH process, in which pairs of variables are uncorrelated, but the three point correlation function is non zero. The application to financial data allows to discriminate among dependent and independent stock price returns where standard statistical analysis fails.
© (2007) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
V. Alfi, A. Petri, and L. Pietronero "A method for detecting complex correlation in time series", Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010H (15 June 2007); https://doi.org/10.1117/12.725330
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