Time-lag cross-correlations in collective phenomena

By B. Podobnik, Duan Wang, Davor Horvatic, Ivo Grosse, H. Eugene Stanley. 2010

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Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series (2011, background): “The fact that the tail exponents change by including or excluding in the statistics data referring to some extreme events is not a surprise though [28,29].”
Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient (2013, methodology): “Then determine the detrended covariance [29,42–44]”
A new approach to quantify power-law cross-correlation and its application to commodity markets (2011, methodology): “Many simultaneously recorded time series in various real world commodity or financial markets are found to exhibit spatial or temporal cross-correlations [3, 7-17].”
Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model (2011, background): “In many cases, market risk is contagious [41] and market corrections and crashes occur successively in a short period [42] including the latest financial crisis, which is partially due to globalization and assets diversification such that the US stock market and world financial stock market exhibit ”