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Asymmetry in power-law magnitude correlations

Boris Podobnik, Davor Horvatić, Joel N. Tenenbaum, and H. Eugene Stanley
Phys. Rev. E 80, 015101(R) – Published 17 July 2009

Abstract

Time series of increments can be created in a number of different ways from a variety of physical phenomena. For example, in the phenomenon of volatility clustering—well-known in finance—magnitudes of adjacent increments are correlated. Moreover, in some time series, magnitude correlations display asymmetry with respect to an increment’s sign: the magnitude of |xi| depends on the sign of the previous increment xi1. Here we define a model-independent test to measure the statistical significance of any observed asymmetry. We propose a simple stochastic process characterized by a an asymmetry parameter λ and a method for estimating λ. We illustrate both the test and process by analyzing physiological data.

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  • Received 24 March 2009

DOI:https://doi.org/10.1103/PhysRevE.80.015101

©2009 American Physical Society

Authors & Affiliations

Boris Podobnik*

  • Faculty of Civil Engineering, University of Rijeka, 51000 Rijeka, Croatia; Zagreb School of Economics and Management, 10000 Zagreb, Croatia; and Department of Physics and Center for Polymer Studies, Boston University, Boston, Massachusetts 02215, USA

Davor Horvatić

  • Department of Physics, Faculty of Science, University of Zagreb, Bijenička c. 32, 10000 Zagreb, Croatia

Joel N. Tenenbaum and H. Eugene Stanley

  • Department of Physics and Center for Polymer Studies, Boston University, Boston, Massachusetts 02215, USA

  • *bp@phy.hr

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Vol. 80, Iss. 1 — July 2009

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