A method for detecting complex correlation in time series

V. Alfi; A. Petri; L. Pietronero

doi:10.1117/12.725330

15 June 2007 A method for detecting complex correlation in time series

V. Alfi, A. Petri, L. Pietronero

Proceedings Volume 6601, Noise and Stochastics in Complex Systems and Finance; 66010H (2007) https://doi.org/10.1117/12.725330
Event: SPIE Fourth International Symposium on Fluctuations and Noise, 2007, Florence, Italy

Abstract

We propose a new method for detecting complex correlations in time series of limited size. The method is derived by the Spitzer's identity and proves to work successfully on different model processes, including the ARCH process, in which pairs of variables are uncorrelated, but the three point correlation function is non zero. The application to financial data allows to discriminate among dependent and independent stock price returns where standard statistical analysis fails.

Citation Download Citation

V. Alfi, A. Petri, and L. Pietronero "A method for detecting complex correlation in time series", Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010H (15 June 2007); https://doi.org/10.1117/12.725330

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