Research of Cross-Correlation of High-Frequency Data in Stock Markets with Wavelet Analysis
Zhang Shi-ying · Zhongguo guanli kexue · 2006
Cross-correlation of high-frequency time series between Shanghai Stock Market and Shenzhen Stock Market is studied.In order to identify details of cross-correlation more distinctly,cross-correlation is analyzed by MODWT(maximal overlap discrete wavelet transform)on various scales.The sum of wavelet variance after decomposition is equal to the variance of original time series.Along with decomposition,the characteristic of high kurtosis and thick tail has been decaying;distribution of new time series is tending to normal distribution.