Properly estimating correlations and understanding how they change under different economic conditions plays a key role in asset pricing models, risk management, and many econometric models. In this paper we introduce a robust framework to identify a meaningful correlation relationship, address...

A time series can be decomposed into two sub-series: a magnitude series and a sign series. Here we analyze separately the scaling properties of the magnitude series and the sign series using the increment time series of cardiac interbeat intervals as an example. We find that time series having...

We study the VIX Index, often referred to as “the investor's fear gauge,” relative to the observed volatility of the S&P 500 Index to investigate the relationship between these two measures of financial markets variability and to understand the directionality of their influence on one...

In the current era of strong worldwide market couplings the global financial village became highly prone to systemic collapses, events that can rapidly sweep through out the entire village. Here we present a new methodology to assess and quantify inter-market relations. The approach is based on...

It is well known that while daily price returns of financial markets are uncorrelated, their absolute values (‘volatility’) are long-term correlated. Here we provide evidence that certain subsequences of the returns themselves also exhibit long-term memory. These subsequences consist of...

Using detrended fluctuation analysis, we study the scaling properties of the volatility time series Vi=|Ti+1−Ti| of daily temperatures Ti for 10 chosen sites around the globe. We find that the volatility is long-range power-law correlated with an exponent γ close to 0.8 for all sites...

This manuscript is a brief summary of a talk designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena—scale invariance and universality—can be useful in guiding research on interpreting empirical data on economic fluctuations....

In recent years, physicists have started applying concepts and methods of statistical physics to study economic problems. The word “Econophysics” is sometimes used to refer to this work. Much recent work is focused on understanding the statistical properties of financial time series. One...