A comparison of high-frequency cross-correlation measures

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. There are two ways to deal with this problem. The time series can be homogenised through an interpolation method (An Introduction to High-Frequency Finan...

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Bibliographic Details
Published in:Physica A 2004-12, Vol.344 (1), p.252-256
Main Authors: Precup, Ovidiu V., Iori, Giulia
Format: Article
Language:English
Subjects:
Covolatility weighting
Fourier method
High-frequency correlation
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Summary:On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. There are two ways to deal with this problem. The time series can be homogenised through an interpolation method (An Introduction to High-Frequency Finance, Academic Press, NY, 2001) (linear or previous tick) and then the Pearson correlation statistic computed. Recently, methods that can handle raw non-synchronous time series have been developed (Int. J. Theor. Appl. Finance 6(1) (2003) 87; J. Empirical Finance 4 (1997) 259). This paper compares two traditional methods that use interpolation with an alternative method applied directly to the actual time series.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2004.06.127