Dynamic local trend associations in analysis of comovements of financial time series

Francisco Javier García-López, Ildar Batyrshin, Alexander Gelbukh

Producción científica: Capítulo del libro/informe/acta de congresoCapítulorevisión exhaustiva

Resumen

We show that the correlation coefficient, often used for analysis of co-movements of financial time series, can be misleading because it does not take into account the time ordering of time series values. We propose the new method of analysis of time series comovements based on dynamic local trend association measure. This measure can capture the dynamic change of the sign of association between time series. The advantage of the new method is demonstrated on examples of financial time series. The associations between time series dynamics and related events are also considered.

Idioma originalInglés
Título de la publicación alojadaAdvances in Intelligent Systems and Computing
EditorialSpringer Verlag
Páginas181-188
Número de páginas8
DOI
EstadoPublicada - 2018

Serie de la publicación

NombreAdvances in Intelligent Systems and Computing
Volumen648
ISSN (versión impresa)2194-5357

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