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Constantin P.
Cristescu,
Cristina
Stan
Eugen I.
Scarlat,
Teofil
Minea,
Cristina M.
Cristescu
Department of Physics, Politehnica University of Bucharest, 313 Spl. Independentei, RO-060042, Romania
a r t i c l e i n f o
Article history:
Received 31 August 2011
Received in revised form 9 November 2011
Available online xxxx
Keywords:
Mutual correlation
Sliding window
Multifractal analysis
Exchange rate time series
a b s t r a c t
We present a novel method for the parameter oriented analysis of mutual correlation
between independent time series or between equivalent structures such as ordered data
sets. The proposed method is based on the sliding window technique, defines a new type
of correlation measure and can be applied to time series from all domains of science and
technology, experimental or simulated. A specific parameter that can characterize the time
series is computed for each window and a cross correlation analysis is carried out on the
set of values obtained for the time series under investigation. We apply this method to the
study of some currency daily exchange rates from the point of view of the Hurst exponent
and the intermittency parameter. Interesting correlation relationships are revealed and a
tentative crisis prediction is presented.
2011 Elsevier B.V. All rights reserved.
1. Introduction 1
The method of analysis proposed in this work is based on the possibility of characterizing an ordered data set or a time
Q1
2
series by numerical values of specific parameters such as fractal dimension, power spectral exponent, Hurst exponent, 3
intermittency parameter, LempelZiv complexity, Lyapunov exponent, KolmogorovSinai entropy, etc. The proposed 4
method can detect the correlation between two time series by consideration of any of these parameters or any combination 5
thereof. It uses the sliding window technique and can be applied to time series or ordered data sets from all domains of 6
science and technology, experimental or simulated.
Q2
7
Recently, various analysis methods based on the sliding window algorithm are extensively used in many applications 8
extending from Web problems [13] and GPS meteorology [4,5] to biology [69], medicine [10] and dynamics of financial 9
data [11,12]. Aconsiderable number of papers dedicatedto the analysis of time series fromvarious fields basedoncorrelation 10
coefficients using cross-correlations either between two series or between many simultaneously recorded time series have 11
lately been published [11,1323]. The presented analysis is based on the conventional Pearson correlation coefficient and on 12
two other types of correlation measures proposed in this work. We shall call the newmethod
visual support. In the present analysis, we are interested in both the parameter values and the slopes of the 35
line segments as a measure of the change of the parameter of interest in the interval of one windowstep. For the two series, 36
we denote the slopes of the segments S
i
(X) and S
i
(Y) (i = 1, 2, . . . , n 1). Further, we proceed to treat these data in close 37
relationship with the Pearson product-moment correlation analysis [3032]. 38
Recent papers dedicated to the analysis of time series from various fields computing cross-correlations either between 39
two series or between many simultaneously recorded time series have been published [11,2232]. Unlike these, in the 40
present work we consider the correlations with respect to a parameter that characterizes the time series, and not the 41
mutual correlations of the series. Besides the well known correlation coefficient, we define a new measure which is called 42
the parameter gradient correlation degree. The computation of the correlation coefficient consists of the comparison of the 43
parameter values corresponding to each window position, while for the computation of the parameter gradient correlation 44
degree, the slopes of the segments of the same index are compared. 45
First, we shall present the parameter gradient correlation measure. For the two series, the normalized slope of each 46
segment is computed: 47
S
i
(X) =
P
i+1
(X) P
i
(X)
P
i+1
(X) +P
i
(X)
S
i
(Y) =
P
i+1
(Y) P
i
(Y)
P
i+1
(Y) +P
i
(Y)
(i = 1, 2, . . . , n 1) . (2) 48
In the next step, we draw a mutual correlation diagram, taking the slope values of one of the series on the x-axis, and the 49
values of the slopes of the other series on the y-axis. In the conventional correlation diagram, the positions of the data on 50
the axes are considered in correspondence to their respective mean values. Here, we are mainly interested in the sign of the 51
slopes because we consider the two variations to be positively correlated if they are either both positive or both negative, 52
and negatively correlated (anti-correlated) if one is positive and the other one negative, irrespective of their magnitude. 53
Accordingly, the values on the axes are not considered with respect to their means but with respect to the zero value. In order 54
C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx 3
1 2 3 4 5 6 7 8 9 10 11 12
Window position
P
a
r
a
m
e
t
e
r
v
a
l
u
e
Series1
Series2
Series3
0
0.5
1
1.5
2
2.5
3
Fig. 1. Illustration for three arbitrary time series.
-0.25
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
0.25
-0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4
X
Y
2
-0.25
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
0.25
-0.4 -0.3 -0.2 -0.1 0 0.1 0.2 0.3 0.4
X
Y
1
a b
Fig. 2. Gradient correlation diagrams: (a) (X, Y
1
); (b) (X, Y
2
).
to avoid any misunderstanding we call this measure correlation degree instead of the usual name, correlation coefficient. 1
Then we define the gradient mutual correlation degree for the pair by the ratio between the number of points in the first 2
(N
I
) and the third (N
III
) quadrants (those corresponding to positive correlation) to the total number of points: 3
_
r
g
_
XY
=
N
I
+N
III
N
tot
. (3) 4
A value of
_
r
g
_
XY
> 0.5 demonstrates positive mutual correlation and a value
_
r
g
_
XY
< 0.5 corresponds to anti-correlation. 5
The value of
_
r
g
_
XY
is limited to the [0, 1] range and, in this respect it differs fromthe usual correlation coefficient which can 6
have values in the [1, +1] interval. 7
In the case of parameter value mutual correlation, we use the conventional Pearson correlation coefficient to compare 8
the parameter values for each window position of the two analyzed series. The Pearson correlation coefficient is defined by 9
r
XY
=
E [(X E (X)) (Y E (Y))]
Y
=
E (XY) E (X) E (Y)
Y
(4) 10
where E () is the expected value operator, and
X
,
Y
are the standard deviations of the parameter values for the two 11
series. Usually, as in the present situation, we have to analyze series consisting of a certain number n of data. Accordingly, 12
the correlation coefficient is computed by: 13
r
XY
=
1
n 1
n
i=1
_
x
i
x
X
__
y
i
y
Y
_
=
n
i=1
x
i
y
i
n x y
(n 1)
X
Y
(5) 14
where, x and y are series means and
X
and
Y
are standard deviations. 15
We shall illustrate the method using the arbitrary parameter values presented in Fig. 1 for the comparison between a 16
series X and other two series, Y
1
and Y
2
. Fig. 2(a) and (b) show the gradient correlation diagrams for the (X, Y
1
) and (X, Y
2
) 17
pairs. The values of the correlation degree in the two cases are r
g
|
1
=
7
11
= 0.636 and r
g
|
2
=
9
11
= 0.818. The values show 18
the presence of correlation in both pairs but the series forming the second pair are considerably better correlated from the 19
point of view of the variation of the chosen parameter. 20
4 C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx
0
0.5
1
1.5
2
2.5
3
0 0.5 1 1.5 2 2.5 3
X
Y1
0
0.5
1
1.5
2
2.5
3
0 0.5 1 1.5 2 2.5 3
X
Y2
a b
Fig. 3. Parameter value correlation diagrams: (a) (X, Y
1
); (b) (X, Y
2
).
The parameter value correlation coefficient for the pairs of series (X, Y
1
) and (X, Y
2
) obtained using formula (5) are: 1
r
XY
1
= 0.6919 and r
XY
2
= 0.3903. The two pairs are both positively correlated. The difference in the magnitude of correlation 2
is easily observed
fromFig. 3(a) and (b) that present the correlation diagramfor the parameter values of the two considered 3
pairs. Unlike the parameter gradient correlation degree, the parameter value correlation coefficient is higher for the (X, Y
1
) 4
pair. 5
A more general analysis performed on a large number W of time series Y
1
, Y
2
, . . . , Y
, . . . , Y
W
can be considered. The 6
computation of the normalized slopes is performed for all the data sets (time series) in the group. For the Y
time series: 7
S
i
(Y
) =
P
i+1
(Y
) P
i
(Y
)
P
i+1
(Y
) +P
i
(Y
)
( = 1, 2, . . . , W) . (6) 8
For each position of the window while sliding along the series, the parameter of interest is computed. The sequence of 9
n values obtained for each series is plotted versus the window position and the neighboring points are connected by line 10
segments. Then a mutual correlation degree for each pair is computed by the same procedure as before. The gradient mutual 11
correlation degree for the (Y
m
, Y
) pair is 12
_
r
g
_
m
=
_
N
I
+N
III
N
tot
_
m
(m, = 1, 2, . . . , W) (7) 13
where N
I
and N
III
have the same meaning as in (3) and N
tot
= W. 14
In the case of the study of a large number W of time series, the evolution of their correlation in time can be observed 15
by different alternative measures. For the parameter gradient correlation, a good measure is the difference between the 16
number of positive slopes n
+
and negative slopes n
)
k
k = 1, 2, . . . , n 1. (8) 18
(n)
k
can take integer values in the interval between W and W. A graph (n)
k
= f (k) will give reliable information on 19
the evolution of the respective global correlation. A satisfactory measure for the parameter value correlation is the standard 20
deviation of the values of the parameter of interest for all series in the group, computed for each window position: 21
k
=
_
W
i=1
_
P
i
P
_
k
W
(9) 22
where
P
k
is the mean of the parameter values corresponding to the k-th window position. As before, a graph of
k
can give 23
good information on the evolution of the respective global correlation. 24
3. Structure functions and singular measures analysis 25
We shall apply the PMSWCA method to the study of currency exchange rate time series in order to discover their mutual 26
correlation with respect to the Hurst exponent and the intermittency parameter. 27
Choosing the window size takes some additional analysis. In a recent study [33], performed on Lidar measurements 28
carried out in the Black sea waters [34], we found that for time series of slightly more than 800 points, the structure functions 29
and the singular measures algorithms can be applied with reliable results. However, for shorter data sets (less than about 30
700 points) it seems that the results are not trustworthy any more. Accordingly, we decided on a window size of 792 data, 31
which corresponds to 2 years and 2 months. 32
C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx 5
Many recent studies take advantage of the universal character of multifractals [3540]. In the context of financial time 1
series, relevant studies [4144], explicitly or implicitly use this hypothesis. When rather short time series are used, as in 2
the context of the present study, the universal multifractal hypothesis might be misleading. We tested it by computing the 3
intermittency parameter both from the structure functions scaling exponent using the universal multifractal hypothesis 4
and, directly from the scaling moment function. The difference between the two values was larger than the estimation 5
precision which induced us to decide on computation of the two parameters of interest by different algorithms: the 6
Hurst exponent using structure functions and the intermittency parameter using singular measures. These algorithms are 7
applicable for statistically self-similar, nonstationary data sets with stationary increments and have found wide applications 8
from geophysics and plasma physics to biology and medicine [4549]. 9
It is widely acceptedthat financial, particularly exchange rates time series are indeednonstationary, andtheir increments, 10
which are known as (daily) returns, usually satisfy the stationarity requirement. For a time series x (t
i
) , (i = 1, 2, . . . , N), 11
the order q structure function 12
S
q
() =
_
(|x (t
i
+) x (t
i
)|)
q
_
(10) 13
is defined where, as usual the angular brackets stand for an
(q)
(11) 20
where C
q
can slowly change with . The structure functions scaling exponent (q) is computed as the slope of the loglog 21
plot of the order q structure function. The fact that the (q) is a concave function [29] with (0) = 0, allows the definition 22
of a hierarchy of exponents by 23
H (q) =
(q)
q
. (12) 24
For monofractal time series, such as fractional Brownian motion, (q) is a linear function and H (q) = H = constant 25
represents the Hurst exponent. Atime series characterized by a nonlinear (q) and consequently by a set of Hurst exponents 26
is a multifractal. The function H (q) defined by Eq. (12) represents a generalized Hurst exponent and the particular value 27
H (1) = (1) can be considered as a main value Hurst exponent because it is a measure of the smoothness of the time 28
series [39]. 29
A somewhat related type of fluctuations analysis, is based on singular measures. It consists of averaging the normalized 30
order one structure function on increasing lengths of the data set. Computation of singular measures begins with 31
(1, x
i
) =
|x(t
i
+1) x(t
i
)|
|x(t
i
+1) x(t
i
)|
, |x(t
i
+1) x(t
i
)| =
1
N
N1
i=0
|x(t
i
+1) x(t
i
)| (13) 32
and compute the running average of r normalized values to obtain 33
(r, x
i
) =
1
r
i+r1
j=i
_
1, x
j
_
, i = 0, 1, . . . , N r. (14) 34
The order q singular measure is defined as the mean of the q-th power of (r, x
i
): 35
SM (r, q) =
_
[ (r, x
i
)]
q
_
=
1
N r
Nr
i=0
[ (r, x
i
)]
q
. (15) 36
It is easy to observe that 37
SM (r, 0) = SM (r, 1) = 1. (16) 38
For statistically self-similar time series a power law dependence of the singular measures on the interval r is expected 39
SM (r, q) = Cr
K(q)
. (17) 40
The computation of K (q) involves the estimation of slopes of the loglog plots of Eq. (17) for various values of q. 41
The scaling moment function K (q) is a convex function and describes the multiscaling of the statistical moments of order 42
q. From Eqs. (16) we have 43
K (0) = K (1) = 0 (18) 44
6 C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx
and, consequently, 1
K (q) < 0 for 0 < q < 1. (19) 2
In analogy with (12), K (q) can be used to define the function 3
C (q) =
K (q)
q 1
(20) 4
whose graph is nondecreasing [29] due to the convexity of K (q) and the property (18). The meaning of C(q) is obtained by 5
observing that for homogeneous time series, (1, x) 1, and (r, x) 1 for any x and any r, which implies K (q) = 0, 6
and C (q) = 0. On the other side, in the case of extreme intermittency, i.e. for processes which have reduced values almost 7
everywhere, except isolated zones where they take values much larger than the their mean value, C (q) 1. From K (q), 8
using lHospitals rule in Eq. (20) for q 1, one can compute the intermittency parameter: 9
C (1) C
1
=
dK
dq
q=1
. (21) 10
The parameter C
1
is usually called intermittency parameter and is a measure of the (non-) homogeneity of a time series. 11
Fractal and scaling approaches have been extensively used in the study of correlations between self-similar 12
processes [46,5053]. Many of these works propose different measures for correlation
British Pound (GBP), Japanese Yen (JPY), Singapore Dollar (SGD), Korean Won (KRW), Romanian 49
Leu (RON), Indonesian Rupiah (INR), United States Dollar (USD), European Currency (EUR). 50
We disregarded a few data sets from the beginning of the series and computed the intermittency parameter and the 51
Hurst exponent for n = 19 window positions, the final one covering the last 792 data in the series. The graphs of variation 52
C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx 7
Fig. 4. Graph of the Hurst exponent versus window position for the 7 time series.
Fig. 5. Graph of the intermittency parameter versus window position for the 7 time series.
Table 1
Gradient mutual correlation degree for the intermittency parameter of the 7 series.
Slope C1 GBP JPY SGD KRW RON INR EUR
GBP 1 0.833 0.667 0.5 0.667 0.778 0.667
JPY 0.833 1 0.722 0.5 0.722 0.611 0.722
SGD 0.667 0.722 1 0.667 0.556 0.444 0.667
KRW 0.5 0.5 0.667 1 0.556 0.444 0.556
RON 0.667 0.722 0.556 0.556 1 0.556 0.556
INR 0.778 0.611 0.444 0.444 0.556 1 0.556
EUR 0.667 0.722 0.667 0.556 0.556 0.556 1.
of the two parameters, the Hurst exponent and the intermittency parameter versus the window position are presented in 1
Figs. 4 and 5, respectively. These graphs represent the bases for the following mutual correlation analysis. 2
The results of the study on parameter gradient mutual correlation degrees for the intermittency parameter are presented 3
in Table 1. Some interesting situations are observed: First, the highest gradient correlation with respect to the slope of 4
the intermittency parameter corresponds to the pair GBPJPY which is somewhat surprising and the smallest (in fact this 5
represents anti-correlation), to the pairs KRWINR and INRSGD which is again unexpected. Also related to the KRW, we 6
observe that it has practically no correlation with the currency rates of developed economies except the SGD. Unexpected 7
behavior also shows in the RON: it is more or less correlated to all the others with values very similar to the EUR correlation 8
and the correlation between RONJPY is as high as the correlation of the SGDJPY and EURJPY pairs. The situation for the 9
most correlated pair (GBPJPY) and the most anti-correlated one (KRWINR) are also presented graphically in Fig. 6a, b. 10
The parameter values mutual correlationcoefficients for the intermittency parameter are synthesizedinTable 2. Fromthe 11
data, we observe the following interesting facts: First, the lack of practically any correlation of the JPY with all the others, 12
except the GBP. Again, the RON behaves in a similar way having practically no correlation with all the other currencies 13
8 C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx
a b
Fig. 6. Gradient correlation diagrams for the intermittency parameter: (a) (
KRWINR) pair.
Table 2
Mutual correlation coefficient for the intermittency parameter of the 7 series.
C1 GBP JPY SGD KRW RON INR EUR
GBP 1 0.599 0.638 0.333 0.103 0.319 0.749
JPY 0.599 1 0.18 0.178 0.069 0.074 0.406
SGD 0.638 0.18 1 0.686 0.131 0.47 0.619
KRW 0.333 0.178 0.686 1 0.094 0.386 0.343
RON 0.103 0.069 0.131 0.094 1 0.129 0.101
INR 0.319 0.074 0.47 0.386 0.129 1 0.316
EUR 0.749 0.406 0.619 0.343 0.101 0.316 1
0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
C
1
K
R
W
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
C1 GBP
C
1
E
U
R
C1 JPY
a b
Fig. 7. Parameter value correlation diagrams for the intermittency parameter: (a) (
KRWJPY) pair.
(including GBP). Concerning the SGD, we notice high correlation with GBP, EUR and KRWwhich look somewhat unexpected. 1
The graphical presentation for the highest correlated pair (EURGBP) and the highest negatively correlated pair (JPYKRW) 2
is given in Fig. 7a, b. 3
The results of the study onparameter gradient mutual correlationfor the Hurst exponent are presentedinTable 3. We find 4
some expected results: the anti-correlation between JPY and all less developed economies, the relatively high correlation 5
between the currencies of the less developed economies RON, KRW, and INR, as well as the
JPYKRW) pair.
Table 4
Mutual correlation coefficient for the Hurst exponent of the 7 series.
H(1) GBP JPY SGD KRW RON INR EUR
GBP 1 0.873 0.94 0.535 0.428 0.371 0.923
JPY 0.873 1 0.867 0.236 0.322 0.271 0.836
SGD 0.94 0.867 1 0.636 0.627 0.429 0.906
KRW 0.535 0.236 0.636 1 0.522 0.169 0.512
RON 0.428 0.322 0.627 0.522 1 0.641 0.415
INR 0.371 0.271 0.429 0.169 0.641 1 0.345
EUR 0.923 0.836 0.906 0.512 0.415 0.345 1
0.25 0.3 0.35 0.4 0.45 0.5 0.55 0.6
0.25
0.3
0.35
0.4
0.45
0.5
0.55
0.6
H(1) INR
H
(
1
)
K
R
W
0.4 0. 45 0.5 0.55 0. 6 0. 65
0.4
0.45
0.5
0.55
0.6
0.65
H(1) SGD
H
(
1
)
G
B
P
a b
Fig. 9. Parameter value correlation diagrams for the Hurst exponent: (a) (
KRWINR) pair.
5. Prediction of economic crises from intermittency parameter? 1
Fig. 10, shows the time lapse corresponding to each window position during the interval of interest, particularly for the 2
study on the financial crisis that took place during the 20082009 interval. 3
10 C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx
Fig. 10. The time lapse corresponding to each window position during the interval of interest for the study on the crisis period.
Fig. 11. The graph of variation of the difference between the number of positive and negative slopes n of the intermittency parameter along time.
The analysis of the graphs in Figs. 4 and 5 gives essential information on the dynamics of the parameters of interest 1
previous and during the crisis period. The decrease in the intermittency parameter is evidence for increased homogeneity of 2
the financial exchange rate series, which is a reasonable behavior during the turbulent interval of installation of a crisis. This 3
is still more visible fromthe graph of change along time (fromslope position to slope position) of the difference between the 4
number of positive and negative slopes n defined in (8). Fig. 11 shows this dependence for the intermittency parameter. 5
We observe that in the interval covering the slope positions 1214 (corresponding to the 1215 windowintervals), a marked 6
misalignment of the slopes appears followed by a complete alignment in the positive direction (all increase). This interval, 7
corresponding to the period prior to the crisis and slightly
onset of the World crisis we just experienced, then we can predict that a new crisis is at the 9
doorstep of the World economies or it has already crossed it, because we observe exactly the same structure in the interval 10
of the 1618 slope positions (drawn also with a thick line). 11
A similar behavior is not as clearly visible from the graph of n for H(1) shown in Fig. 12. This result should not be 12
understood as contradictory because the Hurst parameter has a totally different meaning; on the one side the function H(q) 13
represents an approximation for the Hlder exponent related to the (non-)differentiability of the dependence, as clearly 14
argued by Muzy et al. [74], while as for the Hurst exponent, its meaning is a measure of the anti persistence/persistence 15
(predictability) of the series. In our study the second meaning is of relevance and the behavior presented in Fig. 5 16
demonstrates a general increasing in the predictability during the recent crisis. 17
The similar analysis with respect to the values of the intermittency parameter and Hurst exponent, correlation dynamics 18
are revealed using the standard deviation computed according to (9). The resulting graphs are presented in Figs. 13a and 13b. 19
As is well known, a high value of standard deviation reflects a wide spreading of the data while, a low value is characteristic 20
of data distribution close to the average value. In the window positions corresponding to the period prior to the crisis 21
a diminishing of the standard deviation is observed and during the crisis the values thereof remain low and practically 22
constant. 23
The study of how financial crises can be detected has been a long standing matter of interest. A very recent paper of 24
Podobnik et al. demonstrates that the time lag cross correlations are increased during the financial crisis; they also observe 25
that at the beginning of such a crisis the singular value decays as a power law with increased exponent [75]. Q3 26
C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx 11
0 5 10 15
6
4
2
0
2
4
6
slope position
d
e
l
t
a
s
l
o
p
e
_
H
1
Fig. 12. The graph of variation of the difference between the number of positive and negative slopes n of the Hurst exponent along time.
Fig. 13a. The graph of the standard deviation versus the window position for the intermittency parameter.
Fig. 13b. The graph of the standard deviation versus the window position for the Hurst exponent.
6. Conclusions 1
A new method for the mutual correlation study based on specified parameters of time series using the sliding window 2
technique is proposed. It can be applied to time series (ordered data sets) from all domains of science and technology, 3
experimental or simulated. In addition to the usual Pearson correlation exponent, new types of correlation measures are 4
defined. As an application of PMSWCA, we study some currency daily exchange rates from the point of view of the Hurst 5
exponent and the intermittency parameter. The analysis reveals some expected results: the anti-correlation between highly 6
developed economies and all the less developed economies, as well as the correlation between the currencies of the well 7
developed economies, and some unexpected situations: as for example the RON: it is more or less correlated to all the others 8
with values very similar to the EUR correlations and the correlation RONJPY is as high as the correlation of the SGDJPY 9
pair (Table 1). 10
From the graphs of the intermittency parameter and Hurst exponent dynamics, the periods prior to the crisis and during 11
crisis are clearly distinct. Accordingly, we consider that our analysis introduces a possible crisis predictor. The results of the 12
12 C.P. Cristescu et al. / Physica A xx (xxxx) xxxxxx
application of PMSWCA to financial data suggest that the method could be used to predict unusual or unexpected behavior 1
(such as crises) in other domains, particularly in medicine and weather forecasting. 2
As is well known, the existence of cross-correlation between two data sets is not necessarily evidence for causal 3
relationship between them; however, it could demonstrate the existence of common determining factors. Our analysis 4
clearly proves this by the low and practically constant values of the standard deviation of both considered parameters 5
observed during the crisis. In normal times, some such determining factors could be sometimes identified but most often 6
these are either unknown or undisclosed. 7
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