Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach

Silva, Marcus Fernandes da; Pereira, Éder Johnson de Area Leão; Filho, Aloísio Machado da Silva; Castro, Arleys Pereira Nunes de; Miranda, José García Vivas; Zebende, Gilney Figueira

doi:10.1016/j.physa.2015.01.002

Cited by 43 publications

(12 citation statements)

References 20 publications

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“…The ρDCCA method has been applied in different fields such as climatological data 76 , economics 77,78 , financial markets [79][80][81][82][83] , health 84 , and environment 76,85 .…”

Section: Datamentioning

confidence: 99%

Sustainable urban mobility analysis for elderly and disabled people in São Paulo

Azevedo

Sampaio

Filho

et al. 2021

Sci Rep

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The Brazilian Urban Mobility Policy integrates urban transport with traffic planning, establishing appropriate public policies that indicate the need for a safe and accessible public transport system. The major challenge is the inclusion of the elderly and people with disabilities. In this paper, we quantify the impact of rainfall on the number of people with disabilities and elderly people who use the public bus transportation system for accessibility in the first and last miles in the city of São Paulo. The proposed methodology is used to evaluate the co-movements between the time series of free-fare users and rainfall in São Paulo. The findings confirm the hypothesis that significant rainfall causes a reduction in the number of daily free-fare passengers who use the public bus system in São Paulo.

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“…The ρDCCA method has been applied in different fields such as climatological data 76 , economics 77,78 , financial markets [79][80][81][82][83] , health 84 , and environment 76,85 .…”

Section: Datamentioning

confidence: 99%

Sustainable urban mobility analysis for elderly and disabled people in São Paulo

Azevedo

Sampaio

Filho

et al. 2021

Sci Rep

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“…e DFA method is a common method for investigating the long-range power-law self-correlations of single time series, and the DCCA method has demonstrated its usefulness to determine the long-range power-law cross-correlations of two nonstationary time series [14]. One step further, the DCCA cross-correlation coefficient is an effective method to quantify the level of cross-correlation between two nonstationary time series at different temporal scales [15][16][17]. e algorithm of DCCA correlation coefficient consists of five steps.…”

Section: Dcca Cross-correlation Coefficientmentioning

confidence: 99%

“…ere are a number of ρ DCCA applications in meteorology [19,20], physiology [21,22], economy [13,23], financial [14,16,[24][25][26], and other research areas.…”

Section: Dcca Cross-correlation Coefficientmentioning

confidence: 99%

Effectiveness of Price Limit on Stock Market Network: A Time‐Migrated DCCA Approach

Dai

2021

Complexity

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In this paper, we investigated the effectiveness of price limit on stock market with the correlation study and complex network technology. We proposed a time-migrated DCCA cross-correlation coefficient which is beneficial to detect the asynchronous correlations of nonstationary time series. The stock market network is constructed with the threshold method based on time-migrated DCCA. The effectiveness of the price limit during the stock market crash period is studied based on the time-migrated DCCA stock market network. The results indicate that the time-migrated DCCA ensures more relevant results than the equal-time DCCA method. An interesting finding is that the price limit has different effects on the stock market network at different stages of dynamic evolution. Market stabilization will be lowered and the systemic risk will be increased if the price limit is enhanced. Such studies are relevant for a better understanding of the stock market and have a significant contribution to the stock market in reality.

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“…Several studies have used the ρ DCCA coefficient, their applications including cross-correlation between the largest companies assets blue chips in the Brazilian stock exchange and between the G-7 countries, studying the periods before and after the 2008 crisis and finding a substantial increase in the post-crisis period [36,37]. Ferreira and Pereira [38] evaluated the price of crude oil to twenty stock exchanges before and after the crisis of 2008.…”

Section: Statistical Modelmentioning

confidence: 99%

Comparative Analysis between Hydrous Ethanol and Gasoline C Pricing in Brazilian Retail Market

et al. 2019

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The global energy landscape is rapidly changing, including the transition to a low carbon economy and the use of liquid biofuel. The production of liquid biofuel has emerged as an alternative to the use of fossil fuels for purposes of energy conservation, carbon emission mitigation and agricultural development. In this article we study the co-movements between hydrous ethanol and gasoline C in the Brazilian retail market. A multi-scale cross correlation analysis was applied to the Average Retail Margin time series of hydrous ethanol for fifteen relevant retail markets in Brazil to analyze the competitiveness of hydrous ethanol towards gasoline C. The empirical results showed a remarkable different behavior between hydrous ethanol and gasoline C, for any time scale, regardless of geographical distance or regional differences.

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Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach

Cited by 43 publications

References 20 publications

Sustainable urban mobility analysis for elderly and disabled people in São Paulo

Sustainable urban mobility analysis for elderly and disabled people in São Paulo

Effectiveness of Price Limit on Stock Market Network: A Time‐Migrated DCCA Approach

Comparative Analysis between Hydrous Ethanol and Gasoline C Pricing in Brazilian Retail Market

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