Weighted network analysis of high-frequency cross-correlation measures.
In this paper we implement a Fourier method to estimate high-frequency correlation matrices from small data sets. The Fourier estimates are shown to be considerably less noisy than the standard Pearson correlation measures and thus capable of detecting subtle changes in correlation matrices with just a month of data. The evolution of correlation at different time scales is analyzed from the full correlation matrix and its minimum spanning tree representation. The analysis is performed by implementing measures from the theory of random weighted networks.
Iori
Giulia
G
Department of Economics, City University, Northampton Square, London, EC1V 0HB, United Kingdom. g.iori@city.ac.uk
Precup
Ovidiu V
OV