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Pregled bibliografske jedinice broj: 618542

1/f behavior in cross-correlations between absolute returns in a US market

Gvozdanović, I.; Podobnik, Boris; Wang, Duan; Stanley, H.E.
1/f behavior in cross-correlations between absolute returns in a US market // Physica. A, Statistical mechanics and its applications, 391 (2012), 9; 2860-2866 doi:10.1016/j.physa.2011.12.020 (međunarodna recenzija, članak, znanstveni)

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Naslov
1/f behavior in cross-correlations between absolute returns in a US market

Autori
Gvozdanović, I. ; Podobnik, Boris ; Wang, Duan ; Stanley, H.E.

Izvornik
Physica. A, Statistical mechanics and its applications (0378-4371) 391 (2012), 9; 2860-2866

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

Ključne riječi
long-range cross-correlations

Sažetak
Employing detrended fluctuation analysis (DFA) and detrended cross-correlations analysis (DCCA), we analyze auto-correlations in the absolute returns for each of 30 Dow Jones Industrial Average (DJIA) constituents, Si, and cross-correlations in the absolute returns between the DJIA and each Si. We find that each DJIA member follows the DJIA in absolute returns, since the DCCA curve for each pair (Si, DJIAi) exhibits strong cross-correlations, with average DCCA exponent ⟨λ⟩ = 1.03±0.04. This value for ⟨λ⟩ implies that the powerlaw cross-correlations are of the 1/f functional form. For the financial firms comprising the DJIA, we also find that the DFA and DCCA exponents controlling the duration of firm risk are somewhat larger than the corresponding values for the rest of the US financial industry.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Ekonomija



POVEZANOST RADA

Projekti:
114-0352827-1370 - Istraživanje dugodosežnih korelacija i stohastično modeliranje na nivou stanice

Ustanove:
Građevinski fakultet, Rijeka,
Zagrebačka škola ekonomije i managementa, Zagreb

Profili:

Avatar Url Boris Podobnik (autor)

Poveznice na cjeloviti tekst rada:

doi www.sciencedirect.com ac.els-cdn.com dx.doi.org

Citiraj ovu publikaciju:

Gvozdanović, I.; Podobnik, Boris; Wang, Duan; Stanley, H.E.
1/f behavior in cross-correlations between absolute returns in a US market // Physica. A, Statistical mechanics and its applications, 391 (2012), 9; 2860-2866 doi:10.1016/j.physa.2011.12.020 (međunarodna recenzija, članak, znanstveni)
Gvozdanović, I., Podobnik, B., Wang, D. & Stanley, H. (2012) 1/f behavior in cross-correlations between absolute returns in a US market. Physica. A, Statistical mechanics and its applications, 391 (9), 2860-2866 doi:10.1016/j.physa.2011.12.020.
@article{article, author = {Gvozdanovi\'{c}, I. and Podobnik, Boris and Wang, Duan and Stanley, H.E.}, year = {2012}, pages = {2860-2866}, DOI = {10.1016/j.physa.2011.12.020}, keywords = {long-range cross-correlations}, journal = {Physica. A, Statistical mechanics and its applications}, doi = {10.1016/j.physa.2011.12.020}, volume = {391}, number = {9}, issn = {0378-4371}, title = {1/f behavior in cross-correlations between absolute returns in a US market}, keyword = {long-range cross-correlations} }
@article{article, author = {Gvozdanovi\'{c}, I. and Podobnik, Boris and Wang, Duan and Stanley, H.E.}, year = {2012}, pages = {2860-2866}, DOI = {10.1016/j.physa.2011.12.020}, keywords = {long-range cross-correlations}, journal = {Physica. A, Statistical mechanics and its applications}, doi = {10.1016/j.physa.2011.12.020}, volume = {391}, number = {9}, issn = {0378-4371}, title = {1/f behavior in cross-correlations between absolute returns in a US market}, keyword = {long-range cross-correlations} }

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

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