Low-order variability diagrams for short-range correlation evidence in financial data: BGL-USD exchange rate, Dow Jones industrial average, gold ounce price

Ivanova, K;Ausloos, M
(1999) Physica A: Statistical Mechanics and its Applications — Vol. 265, n° 1-2, p. 279-291 (1999)

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  • Ivanova, K
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  • Ausloos, M
    Author
Abstract
A method to sort out short-range correlations and decorrelations in financial 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 indicate that some predictability can be found at short-range time intervals. (C) 1999 Elsevier Science B.V. All rights reserved.
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Ivanova, K., & Ausloos, M. (1999). 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: Statistical Mechanics and its Applications, 265(1-2), 279-291. https://doi.org/10.1016/S0378-4371(98)00562-7 (Original work published 1999)