Correlations in economic time series
Yanhui Liu, Pierre Cizeau, Martin Meyer, C. -K. Peng and H. Eugene
Stanley
Abstract
A financial index of the New York stock exchange, the S&P500, is
analyzed at 1 min intervals over the 13 yr period, January 84December
96. We quantify the correlations of the absolute values of the index
increment. We find that these correlations can be described by two
different power laws with a crossover time tx ~ 600 min. Detrended
fluctuation analysis gives exponents small alpha, Greek1 = 0.66 and
small alpha, Greek2 = 0.93 for t < tx and t> tx, respectively. Power
spectrum analysis gives corresponding exponents small beta, Greek1 =
0.31 and small beta, Greek2 = 0.90 for f> fx and f < fx, respectively.