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• W2068616077 abstract "The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different timescales and then explore the eigenvalue spectrum over sliding time windows. The dynamics of the eigenvalue spectrum at different times and scales provides insight into the interactions between the numerous constituents involved. Eigenvalue dynamics are examined for both medium and high-frequency equity returns, with the associated correlation structure shown to be dependent on both time and scale. Additionally, the Epps effect is established using this multivariate method and analyzed at longer scales than previously studied. A partition of the eigenvalue time-series demonstrates, at very short scales, the emergence of negative returns when the largest eigenvalue is greatest. Finally, a portfolio optimization shows the importance of timescale information in the context of risk management." @default.
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• W2068616077 date "2009-08-01" @default.
• W2068616077 modified "2023-09-23" @default.
• W2068616077 title "MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES" @default.
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• W2068616077 doi "https://doi.org/10.1142/s0219525909002325" @default.
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