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Cross-Correlation Dynamics in Financial Time Series
Correlation Matrix Eigenspectrum Analysis Econophysics
2010/4/27
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the...
Asset returns and volatility clustering in financial time series
volatility clustering financial time series
2010/4/27
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
German stock market index daily oil price time series
2010/4/27
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Cross-Correlation Dynamics Financial Time-Series
2010/4/27
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...