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Study of Statistical Correlations in Intraday and Daily Financial Return Time Series

dc.contributor.authorTilak, Gayatri
dc.contributor.authorSzell, Tamas
dc.contributor.authorChicheportiche, Rémy
dc.contributor.authorChakraborti, Anirban
dc.date.accessioned2013-06-24T07:37:37Z
dc.date.available2013-06-24T07:37:37Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11470
dc.language.isoenen
dc.subjectMarket evolutionen
dc.subjectStocksen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleStudy of Statistical Correlations in Intraday and Daily Financial Return Time Seriesen
dc.typeChapitre d'ouvrage
dc.description.abstractenThe aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the “seasonalities” and market evolution. Using the intraday data of the CAC40, we begin by reasserting the findings of Allez and Bouchaud 2011: the average correlation between stocks increases throughout the day. We then use multidimensional scaling (MDS) in generating maps and visualizing the dynamic evolution of the stock market during the day. We do not find any marked difference in the structure of the market during a day. Another aim is to use daily data for MDS studies, and visualize or detect specific sectors in a market and periods of crisis. We suggest that this type of visualization may be used in identifying potential pairs of stocks for “pairs trade”.en
dc.identifier.citationpages77-104en
dc.relation.ispartoftitleEconophysics of Systemic Risk and Network Dynamicsen
dc.relation.ispartofeditorAbergel, Frédéric
dc.relation.ispartofeditorChakraborti, Bilas K.
dc.relation.ispartofeditorChakraborti, Anirban
dc.relation.ispartofeditorGhosh, Asim
dc.relation.ispartofpublnameSpringeren
dc.relation.ispartofpublcityBerlinen
dc.relation.ispartofdate2013
dc.relation.ispartofpages298en
dc.relation.ispartofurlhttp://dx.doi.org/10.1007/978-88-470-2553-0en
dc.identifier.urlsitehttp://arxiv.org/abs/1204.5103v1en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-88-470-2552-3en
dc.relation.forthcomingnonen
dc.identifier.doihttp://dx.doi.org/10.1007/978-88-470-2553-0_6en


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