How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Chester Curme (), Rosario Mantegna, Dror Y. Kenett (), Michele Tumminello () and H. Eugene Stanley ()
Additional contact information
Chester Curme: Boston University
Dror Y. Kenett: Office of Financial Research
Michele Tumminello: University of Palermo, Palermo, Italy
H. Eugene Stanley: Boston University

No 15-15, Working Papers from Office of Financial Research, US Department of the Treasury

Abstract: This paper explores how the increasing correlation among intraday stock returns affects the possibility to diversify investment risk and potentially may affect market stability.

Keywords: Financial markets; Correlation analysis; Complex systems; Lagged correlations (search for similar items in EconPapers)
Pages: 28 pages
Date: 2015-08-13
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ofr:wpaper:15-15

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