An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
Statistical Finance
2015-02-26 v1 Probability
Statistics Theory
Statistics Theory
Abstract
We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative) correlation. We show in an explorative study that both types of this dependence show up in real world financial data.
Keywords
Cite
@article{arxiv.1502.07321,
title = {An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series},
author = {Alexander Schnurr},
journal= {arXiv preprint arXiv:1502.07321},
year = {2015}
}
Comments
13 pages, 3 figures