Complex correlation approach for high frequency financial data

DOI10.1088/1742-5468/aaa8ebzbMath1459.91224arXiv1706.06355OpenAlexW2708074813MaRDI QIDQ4964483

Yuichi Ikeda, Mateusz Wiliński, Hideaki Aoyama

Publication date: 2 March 2021

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

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

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

A memory-based method to select the number of relevant components in principal component analysis ⋮ Dynamic analysis of influential stocks based on conserved networks

Cites Work

• 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
• Fourier series method for measurement of multivariate volatilities
• Complex networks: structure and dynamics
• Emergence of statistically validated financial intraday lead-lag relationships
• High-frequency cross-correlation in a set of stocks

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