Phase correlation of foreign exchange time series

研究成果: 雜誌貢獻期刊論文同行評審

33 引文 斯高帕斯(Scopus)


Correlation of foreign exchange rates in currency markets is investigated based on the empirical data of USD/DEM and USD/JPY exchange rates for a period from February 1 1986 to December 31 1996. The return of exchange time series is first decomposed into a number of intrinsic mode functions (IMFs) by the empirical mode decomposition method. The instantaneous phases of the resultant IMFs calculated by the Hilbert transform are then used to characterize the behaviors of pricing transmissions, and the correlation is probed by measuring the phase differences between two IMFs in the same order. From the distribution of phase differences, our results show explicitly that the correlations are stronger in daily time scale than in longer time scales. The demonstration for the correlations in periods of 1986-1989 and 1990-1993 indicates two exchange rates in the former period were more correlated than in the latter period. The result is consistent with the observations from the cross-correlation calculation.

頁(從 - 到)633-642
期刊Physica A: Statistical Mechanics and its Applications
出版狀態已出版 - 1 3月 2007


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