Correlation structures in short-term variabilities of stock indices and exchange rates

Financial data usually show irregular fluctuations and some trends. We investigate whether there are correlation structures in short-term variabilities (irregular fluctuations) among financial data from the viewpoint of deterministic dynamical systems. Our method is based on the small-shuffle surrogate method. The data we use are daily closing price of Standard & Poorʹs 500 and the volume, and daily foreign exchange rates, Euro/US Dollar (USD), British Pound/USD and Japanese Yen/USD. We found that these data are not independent.