Dynamic local trend associations in analysis of comovements of financial time series

Francisco Javier García-López, Ildar Batyrshin, Alexander Gelbukh

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

We show that the correlation coefficient, often used for analysis of co-movements of financial time series, can be misleading because it does not take into account the time ordering of time series values. We propose the new method of analysis of time series comovements based on dynamic local trend association measure. This measure can capture the dynamic change of the sign of association between time series. The advantage of the new method is demonstrated on examples of financial time series. The associations between time series dynamics and related events are also considered.

Original languageEnglish
Title of host publicationAdvances in Intelligent Systems and Computing
PublisherSpringer Verlag
Pages181-188
Number of pages8
DOIs
StatePublished - 2018

Publication series

NameAdvances in Intelligent Systems and Computing
Volume648
ISSN (Print)2194-5357

Keywords

  • Association measure
  • Comovement
  • Correlation
  • Event
  • Stock market
  • Time series

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