Naslov
Power-law Autocorrelated Stochastic Processes with Long-range Cross-correlations

Autori
Podobnik, Boris ; Fu, Dongfeng ; Stanley H.Eugene ; Ivanov, Plamen Ch.

Izvornik
The European Physical Journal. B (1434-6028) 56 (2007); 47-52

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
cross-correlations; power-law scaling; phase transformations

Sažetak
We propose a stochastic process with two coupled variables where each variable is long-range power-law autocorrelated in absolute values and there are also long-range power-law cross-correlations between absolute values of these two variables. We confront the process with the daily data for the DowJones and S&P500 indices. We also propose another process with two coupled variables but with power-law autocorrelations and cross-correlations in variables themselves. After we employ the Fourier phase randomization procedure we show that cross-correlations in opposite to autocorrelations completely vanish.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Ekonomija

POVEZANOST RADA