Time dependent cross correlations between different stock returns: A directed network of influence

L. Kullmann, J. Kertesz and K. Kaski

Papers from arXiv.org

Abstract: We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect showing that in many cases the maximum correlation is at nonzero time shift indicating directions of influence between the companies. Due to the weakness of the effect and the shortness of the characteristic time (in the order of a few minutes) the effect is compatible with market efficiency. The interaction of companies defines a directed network of influence.

Date: 2002-03, Revised 2002-05
References: Add references at CitEc
Citations: View citations in EconPapers (66)

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0203256 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0203256

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().