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Scale dependence of the directional relationships between coupled time series

Shirazi, A. H ; Sharif University of Technology | 2013

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  1. Type of Document: Article
  2. DOI: 10.1088/1742-5468/2013/02/P02042
  3. Publisher: 2013
  4. Abstract:
  5. Using the cross-correlation of the wavelet transformation, we propose a general method of studying the scale dependence of the direction of coupling for coupled time series. The method is first demonstrated by applying it to coupled van der Pol forced oscillators and coupled nonlinear stochastic equations. We then apply the method to the analysis of the log-return time series of the stock values of the IBM and General Electric (GE) companies. Our analysis indicates that, on average, IBM stocks react earlier to possible common sector price movements than those of GE
  6. Keywords:
  7. Nonlinear dynamics ; Stochastic processes
  8. Source: Journal of Statistical Mechanics: Theory and Experiment ; Volume 2013, Issue 2 , 2013 ; 17425468 (ISSN)
  9. URL: http://iopscience.iop.org/article/10.1088/1742-5468/2013/02/P02042/meta;jsessionid=FFAAF5372B5D14DC261A17B579CEF1CD.c3.iopscience.cld.iop.org