A Comparison of High-Frequency Cross-Correlation Measures

Details A Comparison of High-Frequency Cross-Correlation Measures A Comparison of High-Frequency Cross-Correlation Measures

2004-02-19

arxiv.org/abs/cond-mat/0402502v1

Physics

Condensed Matter

Statistical Mechanics

Presented at the APFA 4 conference, Warsaw 13-15 November 2003. To appear is a special issue of Physica A

Scientific paper

10.1016/j.physa.2004.06.127

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures can not 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 \cite{Dacorogna} (linear or previous tick) and then the Pearson correlation statistic computed. Recently, methods that can handle raw non-synchronous time series have been developed \cite{Reno1,deJong}. This paper compares two traditional methods that use interpolation with an alternative method applied directly to the actual time series.

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