Local normalization: Uncovering correlations in non-stationary financial time series

Schfer R.; Guhr T.

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Local normalization: Uncovering correlations in non-stationary financial time series

机译：局部规范化：发现非固定财务时间序列中的相关性

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The measurement of correlations between financial time series is of vital importance for risk management. In this paper we address an estimation error that stems from the non-stationarity of the time series. We put forward a method to rid the time series of local trends and variable volatility, while preserving cross-correlations. We test this method in a Monte Carlo simulation, and apply it to empirical data for the S&P 500 stocks.

机译：财务时间序列之间的相关性度量对于风险管理至关重要。在本文中，我们解决了由于时间序列的非平稳性引起的估计误差。我们提出了一种方法来消除局部趋势和可变波动率的时间序列，同时保留互相关性。我们在蒙特卡洛模拟中测试此方法，并将其应用于标准普尔500指数股票的经验数据。

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《Physica, A. Statistical mechanics and its applications》 |2010年第18期|共10页
作者
Schfer R.; Guhr T.;
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正文语种 eng
中图分类物理学;
关键词
Econophysics; Financial correlations; Non-stationarity; Time series analysis;

机译：经济物理学;金融相关性;非平稳性;时间序列分析;

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1. Local normalization: Uncovering correlations in non-stationary financial time series [J] . Schfer R., Guhr T. Physica, A. Statistical mechanics and its applications . 2010,第18期

机译：局部规范化：发现非固定财务时间序列中的相关性
2. Local detrended cross-correlation analysis for non-stationary time series [J] . Zhai Lu-Sheng, Liu Ruo-Yu Physica, A. Statistical mechanics and its applications . 2019,第期

机译：非静止时间序列的局部扭转交叉相关分析
3. Long-term correlations in short, non-stationary time series: An application to international R&D collaborations [J] . Righetto Lorenzo, Spelta Alessandro, Rabosio Emanuele, Journal of informetrics . 2019,第2期

机译：短期，非平稳时间序列中的长期关联：在国际研发合作中的应用
4. Adaptive Normalization: A novel data normalization approach for non-stationary time series [C] . Ogasawara Eduardo, Martinez Leonardo C., de Oliveira Daniel, The 2010 International Joint Conference on Neural Networks . 2010

机译：自适应归一化：一种用于非平稳时间序列的新颖数据归一化方法
5. An EEMD Approach to Non-Stationary, Non-Linear Environmental Long- and Short-Term Time Series Data of Charleston, SC, with a 2009 Flood Anomaly Case Study [D] . Carpenter, Dylan. 2021

机译：Charleston，SC的非静止，非线性环境长和短期时间序列数据的EEMD方法，具有2009年洪水异常案例研究
6. Influence of Time-Series Normalization Number of Nodes Connectivity and Graph Measure Selection on Seizure-Onset Zone Localization from Intracranial EEG [O] . Pieter van Mierlo, Octavian Lie, Willeke Staljanssens, -1

机译：时间序列归一化节点数连接性和图量度选择对颅内脑电图发作发作区域定位的影响
7. Quantile correlations : uncovering temporal dependencies in financial time series [O] . Schmitt, Thilo A., Schue4fer, Rudi, Dette, Holger, 2015

机译：分位数相关：揭示金融时间序列中的时间依赖性
8. Non-Stationary 1981-2012 AVHRR NDVI(sub 3g) Time Series. [R] . Pinzon, J. E., Tucker, C. J. 2014

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Local normalization: Uncovering correlations in non-stationary financial time series

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