Ashok Razdan
Published 2003-03-06, updated 2003-10-24Version 2
In this paper we use wavelet concepts to show that correlation coefficient between two financial data's is not constant but varies with scale from high correlation value to strongly anti-correlation value This studies is important because correlation coefficient is used to quantify degree of independence between two variables. In econophysics correlation coefficient forms important input to evolve hierarchial tree and minimum spanning tree of financial data.
Comments: physica A (in press)
Properties of low variability periods in financial time series
Scaling transformation and probability distributions for financial time series
From turbulence to financial time series
