Remember Me
Or use your Academic/Social account:


Or use your Academic/Social account:


You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.


Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message


Verify Password:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Precup, Ovidiu; Iori, Giulia (2004)
Publisher: Elsevier
Languages: English
Types: Article
Subjects: QA, Condensed Matter - Statistical Mechanics, HG, Condensed Matter - Disordered Systems and Neural Networks
On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures can not be directly applied to the raw data. There are two ways to deal with this problem. The time series can be homogenised through an interpolation method \cite{Dacorogna} (linear or previous tick) and then the Pearson correlation statistic computed. Recently, methods that can handle raw non-synchronous time series have been developed \cite{Reno1,deJong}. This paper compares two traditional methods that use interpolation with an alternative method applied directly to the actual time series.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • [1] M. Dacorogna, R. Gencay, U.A. Mu¨ler, R.B. Olsen, O.V. Pictet, An Introduction to High-Frequency Finance (2001), Academic Press.
    • [2] R. Ren`o, A closer look at the Epps effect, International Journal of Theoretical and Applied Finance, (2003), 6 (1), 87-102.
    • [3] E. Barucci, R. Ren`o, On measuring volatility and the GARCH forecasting performance, Journal of International Financial Markets, Institutions and Money, 12 (2002) 182-200.
    • [4] F. de Jong, T. Nijman, High frequency analysis of lead-lag relationships between financial markets, Journal of Empirical Finance 4 (1997) 259-277.
    • [5] P. Malliavin, M. Mancino, Fourier series method for measurement of multivariate volatilities, Finance & Stochastics 6(1), (2002), 49-61.
    • [6] T. Epps, Comovements in stock prices in the very short run, Journal of the American Statistical Association 74, (1979), 291-298.
    • [7] M. Lundin, M. Dacorogna, Correlation of high-frequency financial time series, in P. Lequeux (Ed.), Financial Markets Tick by Tick (1999), Wiley & Sons.
    • [8] O.V. Precup, G. Iori, High-Frequency Cross-Correlation Dynamics in US Equity Markets, (in preparation).
  • No related research data.
  • No similar publications.

Share - Bookmark

Cite this article