Correlation estimation using components of Japanese candlesticks
Date
2016Author
Keywords
Metadata
Show full item recordAltmetrics Handle Statistics
Altmetrics DOI Statistics
Abstract
Using the wick's difference from the classical Japanese candlestick representation of daily open, high, low, close prices brings efficiency when estimating the correlation in a bivariate Brownian motion. An interpretation of the correlation estimator in Rogers and Zhou (2008) in the light of wicks' difference allows us to suggest modifications, which lead to an increased efficiency and robustness against the baseline model. An empirical study on four major financial markets confirms the advantages of the modified estimator.
Citation
Popov , V M 2016 , ' Correlation estimation using components of Japanese candlesticks ' , Quantitative Finance , vol. 16 , no. 10 , pp. 1615-1630 . https://doi.org/10.1080/14697688.2016.1157625
Publication
Quantitative Finance
Status
Peer reviewed
ISSN
1469-7688Type
Journal article
Rights
©2016, Informa UK Limited, trading as Taylor & Francis Group. This work is made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at www.tandfonline.com / https://dx.doi.org/10.1080/14697688.2016.1157625
Collections
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.