1/f behavior in cross-correlations between absolute returns in a US market

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 9, 2012, Pages 2860-2866

  Gvozdanovic, Igor ^a   Podobnik, Boris ^a,b,c,d   Wang, Duan ^c   Eugene Stanley, H ^c  

^a ZAGREB SCHOOL OF ECONOMICS AND MANAGEMENT   (Croatia)

^b University of Rijeka   (Croatia)

^c USA   (United States)

^d UNIVERSITY OF LJUBLJANA   (Slovenia)

Author keywords

1 f noise; Cross correlations; Finance

Indexed keywords

FINANCE; SILICON;

1/F NOISE; CROSS CORRELATIONS; DETRENDED CROSS-CORRELATIONS ANALYSIS; DETRENDED FLUCTUATION ANALYSIS; DOW JONES INDUSTRIAL AVERAGES; FINANCIAL INDUSTRY; FUNCTIONAL FORMS; US MARKETS;

FINANCIAL MARKETS;

EID: 84862789170     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.12.020     Document Type: Article

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