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On interrelations of recurrences and connectivity trends between stock indices
correlation stock indices recurrence plots econophysics
2011/3/30
Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient {\rho} as the point of departure. We employ an estimator based on recurrence plots --- the Co...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Temporal structure and gain/loss asymmetry for real and artificial stock indices
Temporal structure gain/loss asymmetry mutual information
2010/11/1
We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index c...
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pac...