Complex correlation approach for high frequency financial data

DOI10.1088/1742-5468/AAA8EBzbMATH Open1459.91224arXiv1706.06355OpenAlexW2708074813MaRDI QIDQ4964483FDOQ4964483

Authors: Mateusz Wiliński, Yuichi Ikeda, Hideaki Aoyama 

Publication date: 2 March 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Abstract: We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. This method is especially suitable for high frequency trading data, which are of a particular interest in finance. Its most important feature is the ability to take into account lead-lag relations on different scales, without knowing them in advance. We also present results obtained with this approach while working on Tokyo Stock Exchange intraday quotations. We show that individual sectors and subsectors tend to form important market components which may follow each other with small but significant delays. These components may be recognized by analysing eigenvectors of complex correlation matrix for Nikkei 225 stocks. Interestingly, sectorial components are also found in eigenvectors corresponding to the bulk eigenvalues, traditionally treated as noise.

Full work available at URL: https://arxiv.org/abs/1706.06355

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Complex networks: structure and dynamics
• Fourier series method for measurement of multivariate volatilities
• A new method of the description of the information flow in the brain structures
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Emergence of statistically validated financial intraday lead-lag relationships
• High-frequency cross-correlation in a set of stocks

Cited In (3)

• A memory-based method to select the number of relevant components in principal component analysis
• Dynamic analysis of influential stocks based on conserved networks
• Estimating correlation from high, low, opening and closing prices

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