TY - JOUR
T1 - Time-dependent cross-correlations between different stock returns
T2 - A directed network of influence
AU - Kullmann, L.
AU - Kertész, J.
AU - Kaski, K.
PY - 2002/8/28
Y1 - 2002/8/28
N2 - We study the time-dependent cross-correlations of stock returns, i.e., we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect showing that in many cases the maximum correlation appears at nonzero time shift, indicating directions of influence between the companies. Due to the weakness of this effect and the shortness of the characteristic time (of the order of a few minutes), our findings are compatible with market efficiency. The interaction of companies defines a directed network of influence.
AB - We study the time-dependent cross-correlations of stock returns, i.e., we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect showing that in many cases the maximum correlation appears at nonzero time shift, indicating directions of influence between the companies. Due to the weakness of this effect and the shortness of the characteristic time (of the order of a few minutes), our findings are compatible with market efficiency. The interaction of companies defines a directed network of influence.
UR - http://www.scopus.com/inward/record.url?scp=41349085559&partnerID=8YFLogxK
U2 - 10.1103/PhysRevE.66.026125
DO - 10.1103/PhysRevE.66.026125
M3 - Article
AN - SCOPUS:41349085559
SN - 1063-651X
VL - 66
JO - Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
JF - Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
IS - 2
ER -