title: Asymmetry in power-law magnitude correlations.
abstract: Time series of increments can be created in a number of different ways from a variety of physical phenomena. For example, in the phenomenon of volatility clustering-well-known in finance-magnitudes of adjacent increments are correlated. Moreover, in some time series, magnitude correlations display asymmetry with respect to an increment's sign: the magnitude of |x_{i}| depends on the sign of the previous increment x_{i-1} . Here we define a model-independent test to measure the statistical significance of any observed asymmetry. We propose a simple stochastic process characterized by a an asymmetry parameter lambda and a method for estimating lambda . We illustrate both the test and process by analyzing physiological data.
authors: Faculty of Civil Engineering, University of Rijeka, 51000 Rijeka, Croatia. bp@phy.hr
authors: Boris
authors: B
authors: Podobnik
authors: Davor
authors: D
authors: Horvatić
authors: Joel N
authors: JN
authors: Tenenbaum
authors: H Eugene
authors: HE
authors: Stanley