637 citations · 1.2k across the 23 of their papers we have counts for
3 papers · 1 filter
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
Duan Wang, Boris Podobnik, Davor Horvatić +1
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…
Cross-correlations between volume change and price change
Boris Podobnik, Davor Horvatic, Alexander M. Petersen +1
In finance, one usually deals not with prices but with growth rates , defined as the difference in logarithm between two consecutive prices. Here we consider not the trading vol…
Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes
Boris Podobnik, Davor Horvatic, Alfonso Lam Ng +2
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process…