This title appears in the Scientific Report :
2004
Please use the identifier:
http://dx.doi.org/10.1016/j.physa.2004.01.050 in citations.
Please use the identifier: http://hdl.handle.net/2128/10687 in citations.
Time scales involved in emergent market coherence
Time scales involved in emergent market coherence
In addressing the question of the time scales characteristic for the market formation, we analyze high-frequency tick-by-tick data from the NYSE and from the German market. By using returns on various time scales ranging from seconds or minutes up to 2 days, we compare magnitude of the largest eigen...
Saved in:
Personal Name(s): | Kwapien, J. |
---|---|
Drozdz, S. / Speth, J. | |
Contributing Institute: |
Institut 3 (Theoretische Kernphysik); IKP-TH |
Published in: | Physica / A, 337 (2004) S. 231 - 242 |
Imprint: |
Amsterdam
North Holland Publ. Co.
2004
|
Physical Description: |
231 - 242 |
DOI: |
10.1016/j.physa.2004.01.050 |
Document Type: |
Journal Article |
Research Program: |
Physik der Hadronen |
Series Title: |
Physica A
337 |
Subject (ZB): | |
Link: |
Get full text OpenAccess OpenAccess |
Publikationsportal JuSER |
Please use the identifier: http://hdl.handle.net/2128/10687 in citations.
In addressing the question of the time scales characteristic for the market formation, we analyze high-frequency tick-by-tick data from the NYSE and from the German market. By using returns on various time scales ranging from seconds or minutes up to 2 days, we compare magnitude of the largest eigenvalue of the correlation matrix for the same set of securities but for different time scales. For various sets of stocks of different capitalization (and the average trading frequency), we observe a significant elevation of the largest eigenvalue with increasing time scale. Our results from the cot-relation matrix study can be considered as a manifestation of the so-called Epps effect. There is no unique explanation of this effect and it seems that many different factors play a role here. One of such factors is randomness in transaction moments for different stocks. Another interesting conclusion to be drawn from our results is that in the contemporary markets the emergence of significant correlations occurs on time scales much smaller than in the more distant history. (C) 2004 Elsevier B.V. All rights reserved. |