Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Lei, Xiao-Wei - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 828-836
We introduce an instantaneous and an average instantaneous cross-correlation function to detect the temporal cross-correlations between individual stocks based on the daily data of the United States and the Chinese stock markets. The memory effect of the instantaneous cross-correlations is...