Correlation structures in short-term variabilities of stock indices and exchange rates |
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| Authors: | Tomomichi Nakamura Michael Small |
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| Affiliation: | a Sony Computer Science Laboratories Inc., 3-14-13 Higashigotanda, Shinagawa-ku, Tokyo 141-0022, Japan
b Department of Electronic and Information Engineering, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong |
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| Abstract: | Financial data usually show irregular fluctuations and some trends. We investigate whether there are correlation structures in short-term variabilities (irregular fluctuations) among financial data from the viewpoint of deterministic dynamical systems. Our method is based on the small-shuffle surrogate method. The data we use are daily closing price of Standard & Poor's 500 and the volume, and daily foreign exchange rates, Euro/US Dollar (USD), British Pound/USD and Japanese Yen/USD. We found that these data are not independent. |
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| Keywords: | Correlations structures Econophysics Financial data Surrogate data |
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