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Cross-correlation Measures in the High-frequency Domain

Author

Listed:
  • Ovidiu V. Precup
  • Giulia Iori

Abstract

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. To deal with this problem the time series have to be either homogenized through interpolation, or methods that can handle raw non-synchronous time series need to be employed. This paper compares two traditional methods that use interpolation with an alternative method applied directly to the actual time series. The three methods are tested on simulated data and actual trades time series.

Suggested Citation

  • Ovidiu V. Precup & Giulia Iori, 2007. "Cross-correlation Measures in the High-frequency Domain," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 319-331.
    • Handle: RePEc:taf:eurjfi:v:13:y:2007:i:4:p:319-331
    DOI: 10.1080/13518470600813565
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    References listed on IDEAS

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    1. de Jong, Frank & Nijman, Theo, 1997. "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.
    2. Nijman, T.E. & de Jong, F.C.J.M., 1997. "High frequency analysis of lead-lag relationships between financial markets," Other publications TiSEM f4f406a0-771a-4af2-9364-6, Tilburg University, School of Economics and Management.
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    4. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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    Cited by:

    1. Andreea B. Dragut, 2012. "Stock Data Clustering and Multiscale Trend Detection," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 87-105, March.
    2. Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Using the Epps effect to detect discrete processes," Papers 2005.10568, arXiv.org, revised Oct 2021.
    3. S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy).
    4. Patrick Chang & Roger Bukuru & Tim Gebbie, 2019. "Revisiting the Epps effect using volume time averaging: An exercise in R," Papers 1912.02416, arXiv.org, revised Feb 2020.
    5. Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms," Papers 2003.02842, arXiv.org, revised Nov 2020.
    6. Chang, Patrick & Pienaar, Etienne & Gebbie, Tim, 2021. "The Epps effect under alternative sampling schemes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    7. repec:cty:dpaper:06/10 is not listed on IDEAS
    8. Nicolas Huth & Frédéric Abergel, 2010. "High frequency correlation modelling," Post-Print hal-00621244, HAL.
    9. Xiufeng Yan & Qi Tang, 2021. "Network analysis regarding international trade network," Papers 2111.02633, arXiv.org.

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