Parts | Days | Selection | Search | Downloads | Help
SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 21: Financial Markets and Risk Management II
SOE 21.4: Talk
Thursday, March 25, 2010, 12:00–12:30, H46
Measurement of correlations in non-stationary financial time series — •Rudi Schäfer and Thomas Guhr — Fakultät für Physik, Universität Duisburg-Essen, Germany
The measurement of correlations between financial time series is of vital importance for risk management. We address an estimation error that stems from the non-stationarity of the time series. A method is introduced which removes local trends and variable volatility from the time series, while preserving correlations between different time series. We test this method in a Monte-Carlo simulation, and apply it to daily returns of the S&P 500 stocks.