Study of Statistical Correlations in Intraday and Daily Financial Return Time Series
Tilak, Gayatri; Szell, Tamas; Chicheportiche, Rémy; Chakraborti, Anirban (2013), Study of Statistical Correlations in Intraday and Daily Financial Return Time Series, in Abergel, Frédéric; Chakraborti, Bilas K.; Chakraborti, Anirban; Ghosh, Asim, Econophysics of Systemic Risk and Network Dynamics, Springer : Berlin, p. 77-104. http://dx.doi.org/10.1007/978-88-470-2553-0_6
Type
Chapitre d'ouvrageExternal document link
http://arxiv.org/abs/1204.5103v1Date
2013Book title
Econophysics of Systemic Risk and Network DynamicsBook author
Abergel, Frédéric; Chakraborti, Bilas K.; Chakraborti, Anirban; Ghosh, AsimPublisher
Springer
Published in
Berlin
ISBN
978-88-470-2552-3
Number of pages
298Pages
77-104
Publication identifier
Metadata
Show full item recordAbstract (EN)
The 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”.Subjects / Keywords
Market evolution; StocksRelated items
Showing items related by title and author.
-
Bhattacharya, Anindya; Kar, Anirban; Kumar, Sunil; Nandi, Alita (2017) Document de travail / Working paper
-
Bouchard, Bruno; Pham, Huyen (2005) Article accepté pour publication ou publié
-
Ortiz, Horacio (2018) Communication / Conférence
-
Belhakem, Ryad Mohammed (2022-06-10) Thèse
-
Napp, Clotilde; Jouini, Elyès (2011) Article accepté pour publication ou publié