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Correlation estimation using components of Japanese candlesticks

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Popov_JapaneseCandlesticks_QF_AAM.pdf (454.4Kb)
Date
2016
Author
Popov, Valentin Mina
Keywords
Japanese candlesticks
Correlation
Estimation
Brownian motion
Jump diffusions
QA Mathematics
NDAS
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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
DOI
https://doi.org/10.1080/14697688.2016.1157625
ISSN
1469-7688
Type
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
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  • University of St Andrews Research
URI
http://hdl.handle.net/10023/11901

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