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Cristescu, Constantin P.; Stan, Cristina; Scarlat, Eugen I.; Minea, Teofil; Cristescu, Cristina M.
Physica A, 04/2012, Letnik: 391, Številka: 8Journal Article
We present a novel method for the parameter oriented analysis of mutual correlation between independent time series or between equivalent structures such as ordered data sets. The proposed method is based on the sliding window technique, defines a new type of correlation measure and can be applied to time series from all domains of science and technology, experimental or simulated. A specific parameter that can characterize the time series is computed for each window and a cross correlation analysis is carried out on the set of values obtained for the time series under investigation. We apply this method to the study of some currency daily exchange rates from the point of view of the Hurst exponent and the intermittency parameter. Interesting correlation relationships are revealed and a tentative crisis prediction is presented. ► Object oriented analysis of correlation of time series or equivalent structures. ► Sliding window technique applied to time series or ordered data sets. ► A new type of correlation measure is defined. ► Study of currency exchange rates using Hurst exponent and intermittency parameter.
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Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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