Related papers: Long-range Correlation and Market Segmentation in …

Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market…

We extend our previous study of scaling range properties done for detrended fluctuation analysis (DFA) \cite{former_paper} to other techniques of fluctuation analysis (FA). The new technique called Modified Detrended Moving Average Analysis…

This study re-evaluates the assumption that long-range correlations in sentence length are a fundamental feature of natural language and a marker of literary style. While previous research has suggested that punctuation marks--particularly…

We show that the laws of autocorrelations decay in texts are closely related to applicability limits of language models. Using distributional semantics we empirically demonstrate that autocorrelations of words in texts decay according to a…

Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of…

The RR series extracted from human electrocardiogram signal (ECG) is considered as a fractal stochastic process. The manifestation of long-range dependencies is the presence of power laws in scale dependent process characteristics.…

The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…

There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross-correlations. The multifractal detrended cross-correlation analysis (MF-DCCA) approaches can…

The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparative analyses of two stock markets - the S&P 500 (USA) and…

Analysis of long-range dependence in financial time series was one of the initial steps of econophysics into the domain of mainstream finance and financial economics in the 1990s. Since then, many different financial series have been…

Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…

Linear measures such as cross-correlation have been used successfully to determine time delays from the given processes. Such an analysis often precedes identifying possible causal relationships between the observed processes. The present…

In systems removed from equilibrium, intrinsic microscopic fluctuations become correlated over distances comparable to the characteristic macroscopic length over which the external constraint is exerted. In order to investigate this…

Detrended fluctuation analysis (DFA) has been proposed as a robust technique to determine possible long-range correlations in power-law processes [1]. However, recent studies have reported the susceptibility of DFA to trends [2] which give…

Interpretation of long-range rapidity correlations in terms of the fluctuating rapidity density distribution of the system created in high-energy collisions is proposed. When applied to recent data of the STAR coll., it shows a substantial…

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…

The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that…

With the rapid growth of the green bond market amid increasing emphasis on sustainable development, understanding its structural properties and potential systemic risks has become essential. This study applies Minimum Spanning Tree (MST)…

This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…

Models of one-dimensional driven diffusive systems sometimes exhibit an abrupt increase of the correlation length to an anomalously large but finite value as the parameters of the model are varied. This behavior may be misinterpreted as a…