1.5k citations · 4.4k across the 12 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…
Quantitative law describing market dynamics before and after interest-rate change
Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin +1
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change…
Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series
Boris Podobnik, H. Eugene Stanley
Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simu…