Economy – Quantitative Finance – General Finance
Scientific paper
2011-05-31
A. Buda, A. Jarynowski,Life-time Of Correlation And Its Application (volume 1), Wydawnictwo Niezalezne, Wroclaw 2010, ISBN 9
Economy
Quantitative Finance
General Finance
17 pages, 9 figures, 1 table; presented at FENS conference in Wroclaw 2007 and Rzeszow 208; chapter in book: "Life-time Of Cor
Scientific paper
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of Correlation between stocks prices to know how far we should investigate the price history to obtain the optimal durability of correlation. I carry out my research on emerging (Poland) and established markets (in the USA, Great Britain and Germany). Other methods, including the Minimum Spanning Trees, tree half-life, decomposition of correlations and the Epps effect are also discussed.
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