Realized correlation of high-frequency data based fourier analysis

Author

Zhang, Jie ; Wang, Zhuo ; Zhai, Dongsheng

Author_Institution

Econ. & Manage. Sch., Beijing Univ. of Technol., Beijing, China

fYear

2010

fDate

16-18 April 2010

Firstpage

286

Lastpage

288

Abstract

Financial high-frequency data are not equally spaced, standard correlation measures such as Realized Correlation can not be directly applied to the raw data which have to be homogenized by interpolating. Fourier-Realized Correlation is a method which uses all the tick-by-tick data with no need to change their structure. In this paper, Fourier-Realized Correlation of stock returns, the efficiencies of the two methods are compared. Empirical results show that Fourier-Realized Correlation is a better choice in terms of stability.

Keywords

Fourier analysis; data structures; financial data processing; Fourier-realized correlation; financial high-frequency data; high-frequency data based Fourier analysis; realized correlation; stock returns; Data analysis; Frequency domain analysis; Frequency estimation; Frequency measurement; Interpolation; Length measurement; Measurement standards; Sampling methods; Time measurement; Time series analysis; Correlation measure; Fourier-Realized Correaltion; High-frequency data;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on

Conference_Location

Chengdu

Print_ISBN

978-1-4244-5263-7

Electronic_ISBN

978-1-4244-5265-1

Type

conf

DOI

10.1109/ICIME.2010.5477852

Filename

5477852