Low-order variability diagrams for short-range correlation evidence in financial data: BGL-USD exchange rate, Dow Jones industrial average, gold ounce price

Authors
Ivanova, K Ausloos, M
Citation
K. Ivanova et M. Ausloos, Low-order variability diagrams for short-range correlation evidence in financial data: BGL-USD exchange rate, Dow Jones industrial average, gold ounce price, PHYSICA A, 265(1-2), 1999, pp. 279-291
Citations number
32
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
03784371 → ACNP
Volume
265
Issue
1-2
Year of publication
1999
Pages
279 - 291
Database
ISI
SICI code
0378-4371(19990315)265:1-2<279:LVDFSC>2.0.ZU;2-U
Abstract
A method to sort out short-range correlations and decorrelations in financi al data is tested on three typical sets: the Bulgarian Lev-USA Dollar (BGL/ USD) exchange rate, the Dow Jones Industrial Average, the Gold ounce price. The method makes use of the so-called variability diagram technique. Three toys are used as models in order to understand features. Our findings indi cate that some predictability can be found at short-range time intervals. ( C) 1999 Elsevier Science B.V. All rights reserved.