Study of statistical correlations in intraday and daily financial return time series

Gayatri Tilak, Tamás Szell, Rémy Chicheportiche () and Anirban Chakraborti ()
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Gayatri Tilak: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec
Tamás Szell: BME - Budapest University of Technology and Economics [Budapest]
Rémy Chicheportiche: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris
Anirban Chakraborti: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris

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Abstract: 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 the CAC40, we begin by reasserting the findings of Allez and Bouchaud [New J. Phys. 13, 025010 (2011)]: the average correlation between stocks increases throughout the day. We then use multidimensional scaling (MDS) in generating maps and visualizing the dynamic evolution of the stock market during the day. We do not find any marked difference in the structure of the market during a day. Another aim is to use daily data for MDS studies, and visualize or detect specific sectors in a market and periods of crisis. We suggest that this type of visualization may be used in identifying potential pairs of stocks for "pairs trade".

Date: 2011-10-21
Note: View the original document on HAL open archive server: https://hal.science/hal-00827947
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Published in Econophys-Kolkata VI, Oct 2011, Kolkata, India. pp.77, ⟨10.1007/978-88-470-2553-0⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00827947

DOI: 10.1007/978-88-470-2553-0

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