搜索结果: 1-11 共查到“货币银行学 Correlations”相关记录11条 . 查询时间(0.123 秒)
Study of statistical correlations in intraday and daily financial return time series
Study of statistical correlations intraday daily financial return time series Statistical Finance
2012/4/23
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 t...
Dynamics of Stock Market Correlations
Correlation Stock Market Holography eigenvalue entropy
2010/9/30
We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
2010/9/30
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
Econophysics Stock and warrant Intertrade duration Correlation
2010/8/30
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahi...
Memory effect and multifractality of cross-correlations in financial markets
Econophysics Stock market
2010/8/30
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock mark...
Impact of the tick-size on financial returns and correlations
Financial correlations Epps e ect Market emergence Covariance estimation
2009/7/31
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail beh...
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Counterparty Risk Arbitrage-Free Credit Valuation Adjustment Interest Swaps Interest Rate Derivatives
2009/1/1
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In
doing so, we summarize the ...
Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Econophysics Trading volume Intraday pattern Correlation Multifractality
2009/1/1
We investigate the temporal correlations and multifractal nature of trading volume of 22
liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading
volume exhibits size-de...
Hidden Noise Structure and Random Matrix Models of Stock Correlations
Hidden Noise Structure Random Matrix Models Stock Correlations
2009/1/1
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, a...
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes co...
Financial correlations at ultra-high frequency: theoretical models and empirical estimation
Financial ultra-high frequency
2008/6/30
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - th...