(Fuente: Big Picture)
Posts Tagged ‘S&P500
(Fuente: The Big Picture)
(Fuente: Bloomberg, via UTDT)
(Fuente: Bespoke Investment)
(Fuente: JP Morgan, via FT Alphaville)
(Fuente: Forex Blog)
(Fuente: Barrons*)
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*: Esta fuente, tiene un buen debate sobre el VIX. Y Condor Options tambien tiene algo para decir al respecto.
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
Abstract
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange’s TAQ database. With a copula-based approach, we find that the statistical dependencies are very strong in the tails of the marginal distributions. This tail dependence is higher than in a bivariate Gaussian distribution,which is implied in the calculation of many correlation coeffcients. We compare the tail dependence to the market’s average correlation level as a commonly used quantity and disclose an neraly linear relation.
Link al Paper
18
Sep
10
Paper: Correlación y el SPY
Intraday Correlation Patterns between the S&P 500 and Sector Indices
Abstract:
In this brief research note, I explore recent patterns in intraday return and volume correlation between the S\&P 500 and sector indices, as represented by minutely data from Aug. 23 to Sep. 10 for the SPDR exchange-traded funds. Notably, there appears to be evidence of two previously unreported patterns in intraday correlation. First, there is a “U-shaped” trend in return correlation, characterized by higher correlation at open and close and lower correlation during mid-day hours. Second, volume correlation is marked by lower values in the morning and increasing values in the afternoon. In some cases, this trend even takes the infamous “hockey-stick” shape, exhibiting stable values in the morning but sharply increasing values in the late afternoon. To ensure that these patterns are not a function of the choice of correlation window size, I confirm that these patterns are qualitatively stable over correlation windows ranging from 10 minutes to 90 minutes. These findings indicate that non-time-stationary patterns exist not only for volume and volatility, as previously reported, but also for the correlation of return and volume between the market and sector indices. These results have possible implications for intraday market efficiency and for trading strategies that rely on intraday time-stationarity of return or volume correlation.
Link al Paper
13
Sep
10
Paper: Paciencia y Finanzas
Patience and Finance
This paper considers the role of patience in decision-making, in particular financial decision-making. Patience is not static; it evolves. This paper brings together lessons from economics, history, psychology, neurology, sociology to assess patience and its implications for the evolution of economic and financial systems.
Link al Paper
Quantitative Finance Club 