Wavelet Correlation Coefficient of 'strongly correlated' financial time series

Preprint English OPEN
Ashok Razdan;
(2003)

In this paper we use wavelet concepts to show that correlation coefficient between two financial data's is not constant but varies with scale from high correlation value to strongly anti-correlation value This studies is important because correlation coefficient is used... View more
  • References (24)
    24 references, page 1 of 3

    1. N.Vandewalle, M. Ausloos in Econophysics -an Emerging Sciences Edited by J.Kertesz,I.Kondor (Kluwer,Dordrecht 1999 Edition)

    2. V.M.Yakovenko, cond-mat/0302270,13feb 2003

    3. Ashok Razdan,Pramana -Journal of Physics 58(2002)537

    4. M. Ausloos and K.Ivanova, cond-mat/0108394,24 aug 2001

    6. R.N.Mantegna, H.E. Stanely , An Introduction to Econophysics Cambridge University Press ,2000.

    7. E.E.Peters, Chaos and Order in Capital Markets, Wiley,New York,1991

    8. E.E.Peters, Fractal Market Analysis,Wiley,New York,1994

    9. S.Ghashghaie, W.Breymann,J.Pineke, P.Talkner and Y.Dodge, Nature 381(1996)767

    10. R.N.Mantegna and H.Stanley, Nature 383(1996)587

    11. N.Vandewalle and M.Ausloos, Physica A 246(1997)454

  • Metrics
Share - Bookmark