Correlations, delays and financial time series

被引：2
|
作者：
Mayya, K. B. K. [1 ]
Santhanam, M. S. [1 ]
机构：
[1] Phys Res Lab, Ahmadabad 380009, Gujarat, India
来源：
ECONOPHYSICS OF MARKETS AND BUSINESS NETWORKS | 2007年
关键词：
D O I：
10.1007/978-88-470-0665-2_5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the returns of stock prices and show that in the context of data from Bombay stock exchange there are groups of stocks that remain moderately correlated for up to 3 days. We use the delay correlations to identify these, groups of stocks. In contrast to the results of same-time correlation matrix analysis, the groups in this case do not appear to come from any industry segments. We present our results using the closing prices of 326 significant stocks of Bombay stock exchange for the period 1995 to 2005.
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页码：69 / +
页数：2
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