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Weighted Network Analysis of High Frequency Cross-Correlation Measures

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Author Info
Giulia Iori () (Department of Economics, City University, London)
Ovidiu V. Precup

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Abstract

In this paper we implement a Fourier method to estimate high frequency correlation matrices from small data sets. The Fourier estimates are shown to be considerably less noisy than the standard Pearson correlation measure and thus capable of detecting subtle changes in correlation matrices with just a month of data. The evolution of correlation at different time scales is analysed from the full correlation matrix and its Minimum Spanning Tree representation. The analysis is performed by implementing measures from the theory of random weighted networks.

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Publisher Info
Paper provided by Department of Economics, City University, London in its series City University Economics Discussion Papers with number 06/10.

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Length: 11 pages
Date of creation: Nov 2006
Date of revision:
Publication status: Forthcoming in Physical Review E, 2007
Handle: RePEc:cty:dpaper:0610

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Related research
Keywords: High Frequency Correlation; Fourier Method; Random weighted Networks;

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References listed on IDEAS
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  1. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July. [Downloadable!] (restricted)
  2. G. Bonanno & G. Caldarelli & F. Lillo & S. Micciche` & N. Vandewalle & R. N. Mantegna, 2004. "Networks of equities in financial markets," Quantitative Finance Papers cond-mat/0401300, arXiv.org. [Downloadable!]
  3. Maria Elvira Mancino & Paul Malliavin, 2002. "Fourier series method for measurement of multivariate volatilities," Finance and Stochastics, Springer, vol. 6(1), pages 49-61. [Downloadable!] (restricted)
  4. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility of diffusion processes with high frequency data," Economics Letters, Elsevier, vol. 74(3), pages 371-378, February. [Downloadable!] (restricted)
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This page was last updated on 2009-11-17.

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