量化百科

【量化研究】高频时间尺度的相关性结构

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这是一篇简单探讨高频时间尺度的相关性结构的paper。

References

1. Epps T. W. (1979) Comovements in Stock Prices in the Very Short-Run. Journal of the American Statistical Association 74, 291–298

2. Toth B., Kertesz J. (2009) The Epps Effect Revisited, Quantitative Finance 9(7), 793–802

3. Bouchaud J.-P., Potters M. (2004) Theory of Financial Risk and Derivative Pricing, From Statistical Physics to Risk Management. Cambridge University Press

4. Reno R. (2003) A Closer Look at the Epps Effect. International Journal of Theoretical and Applied Finance 6: 87–102

5. Toth B., Kertesz J. (2006) Increasing Market Efficiency: Evolution of Cross-Correlations of Stock Returns, Physica A 360, 505–515

6. Iori G., Precup O.V. (2006) Cross-correlation Measures in the High Frequency Domain, Working Paper

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8. Bacry E. (2010) Modeling microstructure noise using point processes, Econophys- Kolkata V Conference, submitted to Quantitative finance papers

9. Robert C. Y., Rosenbaum M. (2009) On the limiting spectral distribution of the covariance matrices of time-lagged processes, to appear in Journal of Multivariate Analysis

10. Robert C. Y., Rosenbaum M., Hoffman M., Yoshida N. (2010) Estimation of the lead-lag parameter from non-synchronous data, Working Paper

标签

高频交易时间序列分析金融市场投资策略风险管理