High frequency data analysis
Dependencies across different assets are traditionally studied by analyzing the variance-covariance matrix. On a high-frequency scale, financial time series are not homogeneous, therefore standard correlation measures, like Pearson, can not 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. In the following two papers we have compared two traditional methods that use interpolation with the Fourier method (Malliavan and Mancino (2002)) that can be applied directly to the actual time series and has the advantage of being model independent.
The three methods have been tested on simulated data and actual trades time series and the corresponding correlation matrices analyzed using techniques from random networks and random matrix theory. The analysis shows that the Fourier method is better than the alternatives in terms of generating smooth, robust estimates.
- O. Precup and G. Iori,
A Comparison of High-Frequency Cross-Correlation Measures,
Physica A, Vol 344/1-2, 252-256 (2004),
- O. Precup and G. Iori,
Cross-Correlation Measures in the High-Frequency Domain,
European Journal of Finance, 13, 4, 319 - 331, (2007)
- Vanessa Mattiussi and Giulia Iori
Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis
in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008)
- Giulia Iori and Ovidiu V. Precup,
Weighted network analysis of high frequency cross-correlation measures,
Physical Review E, Vol.75, No.3, (2007)
- G. Iori, R. Reno', G. de Masi and G. Caldarelli,
Correlation of trading strategies in the Italian interbank market,
Physica A, 376, 467-479 (2007),
- O. Precup and G. Iori,
A Comparison of High-Frequency Cross-Correlation Measures,
Physica A, Vol 344/1-2, 252-256 (2004),
- O. Precup and G. Iori,
Cross-Correlation Measures in the High-Frequency Domain,
European Journal of Finance, 13, 4, 319 - 331, (2007)
- Vanessa Mattiussi and Giulia Iori
Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis
in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008)
- Giulia Iori and Ovidiu V. Precup,
Weighted network analysis of high frequency cross-correlation measures,
Physical Review E, Vol.75, No.3, (2007)
- G. Iori, R. Reno', G. de Masi and G. Caldarelli,
Correlation of trading strategies in the Italian interbank market,
Physica A, 376, 467-479 (2007),
- Vanessa Mattiussi, Michele Tumminello, Giulia Iori and Rosario N. Mantegna
Comparing correlation matrix estimators via Kullback-Leibler divergence
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