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Decomposing the stock market intraday dynamics

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

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.

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J. Kwapien, S. Drozdz, F. Gruemmer, F. Ruf, J. Speth. 2001-08-03. Decomposing the stock market intraday dynamics. https://doi.org/10.1016/s0378-4371(02)00613-1

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