Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/7868
Title: Correlation structures in short-term variabilities of stock indices and exchange rates
Authors: Nakamura, T
Small, M
Keywords: Correlations structures
Econophysics
Financial data
Surrogate data
Issue Date: 2007
Publisher: North-Holland
Source: Physica A. Statistical mechanics and its applications, 2007, v. 383, no. 1 spec. iss., p. 96-101 How to cite?
Journal: Physica A. Statistical mechanics and its applications 
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.
URI: http://hdl.handle.net/10397/7868
ISSN: 0378-4371
EISSN: 1873-2119
DOI: 10.1016/j.physa.2007.04.103
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