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A method for detecting complex correlation in time series

Conference Paper
Publication Date:
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.
Iris type:
04.01 Contributo in Atti di convegno
List of contributors:
Pietronero, Luciano; Petri, Alberto
Handle:
https://iris.cnr.it/handle/20.500.14243/63686
Book title:
Noise and Stochastics in Complex Systems and Finance
Published in:
PROCEEDINGS OF SPIE, THE INTERNATIONAL SOCIETY FOR OPTICAL ENGINEERING
Series
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URL

http://proceedings.spiedigitallibrary.org/proceeding.aspx?articleid=1304246
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