Correlation structures in short-term variabilities of stock indices and exchange rates
نویسندگان
چکیده
Financial data usually show irregular fluctuations and some trends. We investigate whether there are correlation structures in short-term variabilities (irregular fluctuations) among financial data from the viewpoint of deterministic dynamical systems. Our method is based on the small-shuffle surrogate method. The data we use are daily closing price of Standard & Poor’s 500 and the volume, and daily foreign exchange rates, Euro/US Dollar (USD), British Pound/USD and Japanese Yen/USD. We found that these data are not independent. r 2007 Elsevier B.V. All rights reserved.
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