Data di Pubblicazione:
2007
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.
Tipologia CRIS:
04.01 Contributo in Atti di convegno
Elenco autori:
Pietronero, Luciano; Petri, Alberto
Link alla scheda completa:
Titolo del libro:
Noise and Stochastics in Complex Systems and Finance
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