Simplified calculations of time correlation functions in non-stationary complex financial systems

For complex dynamic systems in non-stationary states, we develop a useful method to simplify the calculation of time correlations. The method is particularly applied to the financial dynamic systems, with focus on how the past fluctuation drives the future motion of the dynamic variables. The results are important both theoretically and practically. Further, we demonstrate how to construct an investment strategy based on the time correlations. (c) 2021 Elsevier B.V. All rights reserved.

Automated summary

The method simplifies the calculation of time correlations for complex dynamic systems in non-stationary states, particularly in financial systems. It focuses on how past fluctuations drive future motion of dynamic variables, and the results are significant both theoretically and practically. Additionally, the method demonstrates how to construct an investment strategy based on time correlations.