SEMINÁRIO: Estimating Correlation using Intraday Price Data in Financial Markets


  • Dr. Valentin Popov – Centre for Research into Ecological and Environmental Modelling – University of St. Andrews – Scotland
  • FCUL – Campo Grande – Bloco C6 Piso 2 – Sala: 6.2.52 – 14:30h
  • Sexta-feira, 20 de Março de 2015

Efficient and robust estimators of the correlation between returns can be obtained using the additional information from intraday price data (daily open-high-low-close (OHLC) prices as well as high-frequency data). We raise awareness of the concept of balanced excess returns (BER), which can be understood as the balance of the wicks in the classical Japanese candlestick representation of the OHLC prices, and discuss their importance for the estimation of correlation. After an empirical study on the properties of the suggested estimators the latter are applied in the field of portfolio selection