Pregled bibliografske jedinice broj: 436125
Cross-Correlations between Volume Change and Price Change
Cross-Correlations between Volume Change and Price Change // Proceedings of the National Academy of Sciences of the United States of America, 106 (2009), 52; 22079-22084 doi:10.1073/pnas.0911983106 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 436125 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Cross-Correlations between Volume Change and Price Change
Autori
Podobnik, Boris ; Horvatić, Davor ; Petersen, Alexander M. ; Stanley, Eugene H.
Izvornik
Proceedings of the National Academy of Sciences of the United States of America (0027-8424) 106
(2009), 52;
22079-22084
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
econophysics; finance; volatility; trading volume; process; cross-correlations
Sažetak
We use several methods to analyze the properties of volume changes $|\tilde R|$, and their relationship to price changes $|R|$. We analyze 14, 981 daily recordings of the S&P 500 index over the 59-year period 1950--2009, and find power-law cross-correlations between $|R|$ and $|\tilde R|$ using detrended cross-correlation analysis (DCCA).
Izvorni jezik
Engleski
Znanstvena područja
Fizika, Ekonomija
POVEZANOST RADA
Projekti:
114-0352827-1370 - Istraživanje dugodosežnih korelacija i stohastično modeliranje na nivou stanice
119-0982930-1016 - Elementarne čestice, teorija polja i kozmologija (Picek, Ivica, MZOS ) ( CroRIS)
Ustanove:
Građevinski fakultet, Rijeka,
Prirodoslovno-matematički fakultet, Zagreb,
Zagrebačka škola ekonomije i managementa, Zagreb
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
- MEDLINE
- EconLit
