Discrete scale-invariance in cross-correlations between time series

DOI10.1016/j.physa.2014.11.032zbMath1396.62251OpenAlexW2081890080MaRDI QIDQ1783320

G. Richomme

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.11.032

zbMATH Keywords

stock marketsde-trended cross-correlation analysisdiscrete-scale long-range correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Critical market crashes
• Characterization of large price variations in financial markets
• Log-periodic self-similarity: an emerging financial law?
• MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS
• Cross-correlations between volume change and price change
• DISCRETE SCALE INVARIANCE IN STOCK MARKETS BEFORE CRASHES
• Introduction to Econophysics

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