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- Title
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS.
- Authors
Costa, Alexandre; Souza Block, Alexander; Sérgio Ceretta, Paulo
- Abstract
We analyze four types of association measurements, the Pearson's Correlation, the Coefficient of Determination, the Multidimensional Association and the Maximal Information Coefficient, the two first linear, and the other two, nonlinear. We utilize 10 minutes intraday data of all Ibovespa stocks, that account for the main stock market index in Brazil. Not much of the methods used in this paper have been seen in financial literature, hence the motivation for this study. The methodology is meaningful to traders, as some stocks are highly correlated to the main index, one can base a strategy when they are trading independently in a given day as this pattern should revert to the mean. One of the most important findings of this work is that treating data as nonlinear yielded stronger results.
- Subjects
B3-Brasil Bolsa Balcao SA; PEARSON correlation (Statistics); SECURITIES trading
- Publication
Revista Eletrônica de Estratégia & Negócios, 2015, Vol 8, Issue 3, p171
- ISSN
1984-3372
- Publication type
Article