Decomposing the stock market intraday dynamics

Details Decomposing the stock market intraday dynamics Decomposing the stock market intraday dynamics

2001-08-03

arxiv.org/abs/cond-mat/0108068v1

Physica A 309 (2002) 171-182

Physics

Condensed Matter

Soft Condensed Matter

15 pages, 13 PostScript figures

Scientific paper

10.1016/S0378-4371(02)00613-1

The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present study is based on the high-frequency Deutsche Aktienindex (DAX) data over the time period between November 1997 and September 1999, and makes use of both, the corresponding returns as well as volatility variations. One principal conclusion is that a bulk of the stock market dynamics is governed by the uncorrelated noise-like processes. There exists however a small number of components of coherent short term repeatable structures in fluctuations that may generate some memory effects seen in the standard autocorrelation function analysis. Laws that govern fluctuations associated with those various components are different, which indicates an extremely complex character of the financial fluctuations.

Affiliated with

Also associated with

No associations

Rating

Decomposing the stock market intraday dynamics does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Decomposing the stock market intraday dynamics, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Decomposing the stock market intraday dynamics will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-243827