Low-order variability diagrams for short-range correlation evidence in financial data: BGL-USD exchange rate, Dow Jones industrial average, gold ounce price

被引：32

作者：

Ivanova, K

Ausloos, M

机构：

[1] Univ Liege, Inst Phys, SUPRAS, B-4000 Liege, Belgium

[2] Bulgarian Acad Sci, Inst Elect, Sofia, Bulgaria

[3] Catholic Univ Louvain, Lab Telecommun & Teledetect, B-1348 Louvain, Belgium

[4] Penn State Univ, Dept Meteorol, State Coll, PA 16802 USA

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 1999年 / 265卷 / 1-2期

基金：

澳大利亚研究理事会;

关键词：

low-order variability diagrams; short-range correlations and decorrelations; BGL-USD exchange rate; Dow-Jones industrial average; gold ounce price;

D O I：

10.1016/S0378-4371(98)00562-7

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

A method to sort out short-range correlations and decorrelations in financial data is tested on three typical sets: the Bulgarian Lev-USA Dollar (BGL/USD) exchange rate, the Dow Jones Industrial Average, the Gold ounce price. The method makes use of the so-called variability diagram technique. Three toys are used as models in order to understand features. Our findings indicate that some predictability can be found at short-range time intervals. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：279 / 291

页数：13

共 32 条

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[Anonymous], WAVELETS GEOPHYS

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