Correlations in Economic Time Series

Abstract

The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws with a crossover time t_\times\approx 600 min. Detrended fluctuation analysis gives exponents ${\alpha }_1=0.66$ and ${\alpha }_2=0.93$ for $t<t_{\times }$ and $t>t_{\times }$ respectively. Power spectrum analysis gives corresponding exponents ${\beta }_1=0.31$ and ${\beta }_2=0.90$ for $f>f_{\times }$ and $f<f_{\times }$ respectively.

6 pages, 2 figures

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