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Quantifying dynamics of the financial correlations

S. Drozdz·J. Kwapien·F. Gruemmer·F. Ruf·J. Speth
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Abstract

A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the financial time-series. The present study is based on the high-frequency Deutsche Aktienindex (DAX) data over the time-period between November 1997 and December 1999 and demonstrates a power of the method. In this way two significant new aspects of the DAX evolution are identified: (i) the memory effects turn out to be sizably shorter than what the standard autocorrelation function analysis seems to indicate and (ii) there exist short term repeatable structures in fluctuations that are governed by a distinct dynamics. The former of these results may provide an argument in favour of the market efficiency while the later one may indicate origin of the difficulty in reaching a Gaussian limit, expected from the central limit theorem, in the distribution of returns on longer time-horizons.

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S. Drozdz, J. Kwapien, F. Gruemmer, F. Ruf, J. Speth. 2001-02-22. Quantifying dynamics of the financial correlations. https://doi.org/10.1016/s0378-4371(01)00289-8

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