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Realized correlation of high-frequency data based fourier analysis

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3 Author(s)
Jie Zhang ; Econ. & Manage. Sch., Beijing Univ. of Technol., Beijing, China ; Zhuo Wang ; Dongsheng Zhai

Financial high-frequency data are not equally spaced, standard correlation measures such as Realized Correlation can not be directly applied to the raw data which have to be homogenized by interpolating. Fourier-Realized Correlation is a method which uses all the tick-by-tick data with no need to change their structure. In this paper, Fourier-Realized Correlation of stock returns, the efficiencies of the two methods are compared. Empirical results show that Fourier-Realized Correlation is a better choice in terms of stability.

Published in:

Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on

Date of Conference:

16-18 April 2010