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.
引用
收藏
页码：69 / +
页数：2
相关论文
共 50 条
  • [21] Financial Time Series Clustering
    Gupta, Kartikay
    Chatterjee, Niladri
    [J]. INFORMATION AND COMMUNICATION TECHNOLOGY FOR INTELLIGENT SYSTEMS (ICTIS 2017) - VOL 2, 2018, 84 : 146 - 156
  • [22] Modelling financial time series
    Manimaran, P.
    Parikh, J. C.
    Panigrahi, P. K.
    Basu, S.
    Kishtawal, C. M.
    Porecha, M. B.
    [J]. ECONOPHYSICS OF STOCK AND OTHER MARKETS, 2006, : 183 - +
  • [23] Determinism in financial time series
    Small, M
    Tse, C
    [J]. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2003, 7 (03):
  • [24] Handbook of Financial Time Series
    Rao, Suhasini Subba
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2010, 31 (01) : 64 - 64
  • [25] Bootstrapping financial time series
    Ruiz, E
    Pascual, L
    [J]. JOURNAL OF ECONOMIC SURVEYS, 2002, 16 (03) : 271 - 300
  • [26] Time scale and fractionality in financial time series
    Sproul, Thomas W.
    [J]. AGRICULTURAL FINANCE REVIEW, 2016, 76 (01) : 76 - 93
  • [27] THE COMPARISON OF CORRELATIONS IN TIME-SERIES
    QUENOUILLE, MH
    [J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 1958, 20 (01) : 158 - 164
  • [28] Canonical correlations and canonical time series
    Thomas, JK
    Scharf, LL
    [J]. 1996 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, CONFERENCE PROCEEDINGS, VOLS 1-6, 1996, : 1637 - 1640
  • [29] Financial and other spatio-temporal time series: Long-range correlations and spectral properties
    Chakraborti, A
    Santhanam, MS
    [J]. INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2005, 16 (11): : 1733 - 1743
  • [30] Counterpropagation with delays with applications in time series prediction
    Fierascu, C
    [J]. ARTIFICIAL NEURAL NETWORKS: FORMAL MODELS AND THEIR APPLICATIONS - ICANN 2005, PT 2, PROCEEDINGS, 2005, 3697 : 533 - 539
12345