Article (Scientific journals)
Correlation measure to detect time series distances, whence economy globalization
Miskiewicz, J.; Ausloos, Marcel
2008In Physica A. Statistical Mechanics and its Applications, 387 (26), p. 6584-6594
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Abstract :
[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.
Disciplines :
International economics
Physics
Author, co-author :
Miskiewicz, J.
Ausloos, Marcel ;  Université de Liège - ULiège > Département de physique > Département de physique
Language :
English
Title :
Correlation measure to detect time series distances, whence economy globalization
Publication date :
2008
Journal title :
Physica A. Statistical Mechanics and its Applications
ISSN :
0378-4371
eISSN :
1873-2119
Publisher :
Elsevier Science, Amsterdam, Netherlands
Volume :
387
Issue :
26
Pages :
6584-6594
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 25 September 2012

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