Reference : Correlation measure to detect time series distances, whence economy globalization
Scientific journals : Article
Business & economic sciences : International economics
Physical, chemical, mathematical & earth Sciences : Physics
http://hdl.handle.net/2268/131152
Correlation measure to detect time series distances, whence economy globalization
English
Miskiewicz, J. [> > > >]
Ausloos, Marcel mailto [Université de Liège - ULg > Département de physique > Département de physique > >]
2008
Physica A: Statistical Mechanics and its Applications
Elsevier Science
387
26
6584-6594
Yes (verified by ORBi)
International
0378-4371
Amsterdam
The Netherlands
[en] An instantaneous time series distance is defined through the equal time correlation coefficient. The idea is applied to the Gross Domestic Product (GDP) yearly increments of 21 rich countries between 1950 and 2005 in order to test the process of economic globalisation. Some data discussion is first presented to decide what (EKS, GK, or derived) GDP series should be studied. Distances are then calculated from the correlation coefficient values between pairs of series. The role of time averaging of the distances over finite size windows is discussed. Three network structures are next constructed based on the hierarchy of distances. It is shown that the mean distance between the most developed countries on several networks actually decreases in time, -which we consider as a proof of globalization. An empirical law is found for the evolution after 1990 similar to that found, in flux creep. The optimal observation time window size is found similar or equal to 15 years. (c) 2008 Elsevier B.V. All rights reserved.
Researchers ; Professionals
http://hdl.handle.net/2268/131152
10.1016/j.physa.2008.08.004

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