Non-parametric determination of real-time lag structure between two time series: The 'optimal thermal causal path' method

Quantitative Finance

Volumn 5, Issue 6, 2005, Pages 577-591

  Sornette, Didier ^a,b,c   Zhou, Wei Xing ^a,d  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITÉ CÔTE D'AZUR   (France)

^d EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Causality; Correlation; Econophysics; Thermal average; Time series

Indexed keywords

EID: 33644885031     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680500383763     Document Type: Article

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