Realized Correlation of High-frequency Data Based Fourier Analysis

摘要：

financial highfrequency data are not equally spaced, standard correlation measures such as Realized Correlation can not be directly applied to the raw data which have to be homogenized by interpolating. FourierRealized Correlation is a method which uses all the tickbytick data with no need to change their structure. In this paper, FourierRealized Correlation of stock returns, the efficiencies of the two methods are compared. Empirical results show that FourierRealized Correlation is a better choice in terms of stability.

关键词： High-frequency data Fourier-Realized Correaltion Correlation measure

作者: Jie zhang Zhuo Wang Dongsheng Zhai

作者单位: Economics and Management SchoolBeijing University of TechnologyBeijing, China Economics and Management School Beijing University of Technology Beijing, China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information Management and Engineering(2010年IEEE第二届信息管理与工程国际会议 IEEE ICIME 2010)

会议地点: 成都

会议语种:英文

页码: 1-3

在线出版日期: 2010-04-16（万方平台首次上网日期，不代表论文的发表时间）