Related Experiment Video
Updated: Sep 29, 2026

New Framework for Understanding Cross-Brain Coherence in Functional Near-Infrared Spectroscopy (fNIRS) Hyperscanning Studies
Published on: October 6, 2023
Time-dependent cross-correlations between different stock returns: a directed network of influence
L Kullmann1, J Kertész, K Kaski
1Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út 8, H-1111, Budapest, Hungary.
Abstract:
We study the time-dependent cross-correlations of stock returns, i.e., we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect showing that in many cases the maximum correlation appears at nonzero time shift, indicating directions of influence between the companies. Due to the weakness of this effect and the shortness of the characteristic time (of the order of a few minutes), our findings are compatible with market efficiency. The interaction of companies defines a directed network of influence.
Related Concept Videos
Drug Concentration Versus Time Correlation
Two pivotal parameters are the minimum effective concentration (MEC) and the minimum toxic concentration (MTC). The MEC is the lowest drug...
Correlations
Correlation and Causation
Correlation
Two variables, for example, a and b, are said to be positively correlated if both variables move in the same direction. In other words, a positive correlation exists between two variables, a and b, if:
Time-Series Graph
Coefficient of Correlation
If you suspect a linear relationship between x and y, then r can measure how strong the linear relationship is.
What the VALUE of r tells us:
The value of r is always between –1 and +1: –1 ≤ r ≤ 1.
The size of the correlation r indicates the strength of the linear...
