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Epochs in Market Sector Index Data — Empirical or Optimistic?

  • G. Keogh
  • S. Sharifi
  • H. Ruskin
  • M. Crane
Conference paper

Summary

We introduce here the concept of “epochs’ in market movements (i.e. periods of co-movements of stocks). These periods in EURO-STOXX market sector data are characterised by linear relationships between price and eigenvalue change. The evidence suggests strong time dependence in the linear model coefficients but residuals are strongly dependent on granularity (i.e. sampling rate) with fit breaking down at rates smaller than five days. Possible reasons for this breakdown are presented together with additional arguments on the relative merits of correlation and variance-covariance matrix eigenanalyses in measuring co-movements of stocks.

Keywords

Price Change Large Eigenvalue Daily Change High Sampling Rate Common Perception 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Springer Japan 2004

Authors and Affiliations

  • G. Keogh
    • 1
  • S. Sharifi
    • 1
  • H. Ruskin
    • 1
  • M. Crane
    • 1
  1. 1.School of Computer ApplicationsDublin City UniversityDublin 9Ireland

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