Time-lag cross-correlations in collective phenomena

• Published in: Europhysics letters Vol. 90; no. 6; p. 68001
• Main Authors: Podobnik, B, Wang, D, Horvatic, D, Grosse, I, Stanley, H. E
• Format: Journal Article
• Language: English
• Published: IOP Publishing 01.06.2010; EDP Sciences
• Subjects: 89.75.Da; 89.90.+n; Finance; Genes; Genomes; Mathematical analysis; Matrix theory; Physiology; Proteins; Time series
• ISSN: 0295-5075; 1286-4854
• DOI: 10.1209/0295-5075/90/68001

We study long-range magnitude cross-correlations in collective modes of real-world data from finance, physiology, and genomics using time-lag random matrix theory. We find long-range magnitude cross-correlations i) in time series of price fluctuations, ii) in physiological time series, both healthy...