A method for detecting complex correlation in time series (Contributo in atti di convegno)

Type
Label
  • A method for detecting complex correlation in time series (Contributo in atti di convegno) (literal)
Anno
  • 2007-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1117/12.725330 (literal)
Alternative label
  • V. Alfi (1,2); A. Petri (3); L. Pietronero (2,3) (2007)
    A method for detecting complex correlation in time series
    in Proc. SPIE - Noise and Stochastics in Complex Systems and Finance, Firenze, Italy, 21 -24 May, 2007
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • V. Alfi (1,2); A. Petri (3); L. Pietronero (2,3) (literal)
Pagina inizio
  • 66010H.1 (literal)
Pagina fine
  • 66010H.7 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#url
  • http://proceedings.spiedigitallibrary.org/proceeding.aspx?articleid=1304246 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#titoloVolume
  • Noise and Stochastics in Complex Systems and Finance (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#volumeInCollana
  • 6601 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#descrizioneSinteticaDelProdotto
  • Noise and Stochastics in Complex Systems and Finance, edited by J.Kertész, S.Bornholdt, R.Mantegna Proceedings of the SPIE, Volume 6601, pp. 66010H(2007) (literal)
Note
  • ISI Web of Science (WOS) (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
  • 1) Centro Studi e Ricerche E. Fermi (Italy) 2) Univ. of Rome La Sapienza (Italy) 3) ISC-CNR (Italy) (literal)
Titolo
  • A method for detecting complex correlation in time series (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#isbn
  • 978-0-8194-6738-6 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#curatoriVolume
  • edited by J. Kertész, S. Bornholdt, R. Mantegna (literal)
Abstract
  • We propose a new method for detecting complex correlations in time series of limited size. The method is derived by the Spitzer's identity and proves to work successfully on different model processes, including the ARCH process, in which pairs of variables are uncorrelated, but the three point correlation function is non zero. The application to financial data allows to discriminate among dependent and independent stock price returns where standard statistical analysis fails. (literal)
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