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arXiv · 1502.07321

An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series

Alexander Schnurr
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Abstract

We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative) correlation. We show in an explorative study that both types of this dependence show up in real world financial data.

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BibTeXRIS

Alexander Schnurr. 2015-01-29. An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series. https://arxiv.org/abs/1502.07321

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