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
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.