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Measuring capital market efficiency: Global and local correlations structure
capital market eciency long-range dependence short-range dependence fractal dimension
2012/9/14
We introduce a new measure for the capital market eciency. The measure takes into considera-tion the correlation structure of the returns (long-term and short-term memory) and local herding behavior ...
Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
Financial Stochastic processes Truncated Levy Flights High-Order Correlations NonGaussian Random Walk
2012/6/5
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. T...
Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
Fluctuation-Dissipation Theory Input-Output Interindustrial Correlations
2010/11/3
The fluctuation-dissipation theory is invoked to shed light on input-output industrial correlations at a macroscopic level; it is applied to the IIP (indices of industrial production) data in Japan.
Universal Correlations and Power-Law Tails in Financial Covariance Matrices
Universal Correlations Power-Law Tails Financial Covariance Matrices
2010/11/1
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is dev...
Compensating asynchrony effects in the calculation of financial correlations
Financial correlations Epps effect Market emergence Covariance estimation Asynchronous time series
2010/11/2
We present a method to compensate statistical errors in the calculation of correlations on asynchronous time series.The method is based on the assumption of an underlying time series. We set up a mode...