Difference in nature of correlation between NASDAQ and BSE indices
| dc.creator | Manimaran, P. | |
| dc.creator | Panigrahi, Prasanta K. | |
| dc.creator | Parikh, Jitendra. C. | |
| dc.date | 2006-01-31 | |
| dc.date | 2008-04-16 | |
| dc.date.accessioned | 2026-07-07T12:07:27Z | |
| dc.date.available | 2026-07-07T12:07:27Z | |
| dc.description | We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavelet transform makes this procedure well suited for the non-stationary data. We analyze daily price of NASDAQ composite index for a period of 20 years, and BSE sensex index, over a period of 15 years. It is found that the long-range correlation, as well as fractal behavior for both the stock index values differ from each other significantly. Strong non-statistical long-range correlation is observed in BSE index, whose removal revealed a Gaussian random noise character for the corresponding fluctuation. The NASDAQ index, on the other hand, showed a multifractal behavior with long-range statistical correlation. | |
| dc.description | 10 pages + 10 figures | |
| dc.identifier | https://arxiv.org/abs/nlin/0601074 | |
| dc.identifier | http://arxiv.org/abs/nlin/0601074 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208974 | |
| dc.subject | Chaotic Dynamics | |
| dc.subject | Statistical Finance | |
| dc.title | Difference in nature of correlation between NASDAQ and BSE indices | |
| dc.type | text |