LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Eletrônica de Estratégia e Negócios |
Texto Completo: | https://portaldeperiodicos.animaeducacao.com.br/index.php/EeN/article/view/2796 |
Resumo: | In this paper we analyze three types of association measurements, the coefficient of determination, the multidimensional association and the maximal information coefficient, the first linear, and the other two nonlinear. We utilize 10 minutes intraday data of all Ibovespa stocks, that account for the main stock market index in Brazil, the Ibovespa. Not much of the methods used in this paper have been seen in finance literature, hence the motivation for this study. This methodology is meaningful to traders, as some stocks are highly correlated to the main index, one can base a strategy when they are trading independently in a given day as this pattern should revert to the mean. One of the most important findings of this work is that treating data as nonlinear yielded stronger results. |
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LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKSMEDIDAS DE ASOCIACIÓN LINEAL Y NO LINEAL CON DATOS DE ALTA FRECUENCIA EN UN DÍA PARA TODAS LAS ACCIONES IBOVESPAKeywordsMultidimensional AssociationMaximal Information CoefficientCoefficient of DeterminationIbovespaAsociación MultidimensionalCoeficiente Máximo de InformaciónCoeficiente de DeterminaciónIbovespaDados dentro de un día.In this paper we analyze three types of association measurements, the coefficient of determination, the multidimensional association and the maximal information coefficient, the first linear, and the other two nonlinear. We utilize 10 minutes intraday data of all Ibovespa stocks, that account for the main stock market index in Brazil, the Ibovespa. Not much of the methods used in this paper have been seen in finance literature, hence the motivation for this study. This methodology is meaningful to traders, as some stocks are highly correlated to the main index, one can base a strategy when they are trading independently in a given day as this pattern should revert to the mean. One of the most important findings of this work is that treating data as nonlinear yielded stronger results.Analizamos cuatro tipos de medidas de asociación, la Correlación de Pearson, el Coeficiente de Determinación, la Asociación Multidimensional y el Coeficiente Máximo de Información, los dos primeros, lineal, y los otros dos, no lineal. Utilizamos 10 minutos de datos dentro de un día, de todas las acciones Ibovespa, que cuenta para el principal índice de acciones en el mercado de Brasil. En la literatura financiera no hay mucho sobre los métodos utilizados en este trabajo, de dónde viene la motivación para el estudio. La metodología es significativa para negociantes, así como algunas acciones son altamente correlacionadas con el principal índice, un puede ser la base estratégica cuando están operando independientemente en un dado día, como este estándar podría reverter la significación. Uno de los más importantes resultados de este trabajo es que el tratamiento de los dados como no lineal produjeron resultados más fuertes. Universidade do Sul de Santa Catarina2016-03-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://portaldeperiodicos.animaeducacao.com.br/index.php/EeN/article/view/279610.19177/reen.v8e32015171-186Revista Eletrônica de Estratégia & Negócios; v. 8 n. 3 (2015); 171-1861984-33721984-3372reponame:Revista Eletrônica de Estratégia e Negóciosinstname:Universidade do Sul de SC (UNISUL)instacron:UNISULenghttps://portaldeperiodicos.animaeducacao.com.br/index.php/EeN/article/view/2796/2591Copyright (c) 2016 Revista Eletrônica de Estratégia & Negóciosinfo:eu-repo/semantics/openAccessBlock, Alexander SouzaCeretta, Paulo SérgioCosta, Alexandre2016-09-15T14:04:32Zoai:portaldeperiodicos.animaeducacao.com.br:article/2796Revistahttps://portaldeperiodicos.animaeducacao.com.br/index.php/EeNPRIhttps://portaldeperiodicos.animaeducacao.com.br/index.php/EeN/oaiterezinha.angeloni@unisul.br||ademar.unisul@gmail.com1984-33721984-3372opendoar:2022-11-08T11:08:28.487348Revista Eletrônica de Estratégia e Negócios - Universidade do Sul de SC (UNISUL)false |
dc.title.none.fl_str_mv |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS MEDIDAS DE ASOCIACIÓN LINEAL Y NO LINEAL CON DATOS DE ALTA FRECUENCIA EN UN DÍA PARA TODAS LAS ACCIONES IBOVESPA |
title |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS |
spellingShingle |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS Block, Alexander Souza Keywords Multidimensional Association Maximal Information Coefficient Coefficient of Determination Ibovespa Asociación Multidimensional Coeficiente Máximo de Información Coeficiente de Determinación Ibovespa Dados dentro de un día. |
title_short |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS |
title_full |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS |
title_fullStr |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS |
title_full_unstemmed |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS |
title_sort |
LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS |
author |
Block, Alexander Souza |
author_facet |
Block, Alexander Souza Ceretta, Paulo Sérgio Costa, Alexandre |
author_role |
author |
author2 |
Ceretta, Paulo Sérgio Costa, Alexandre |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Block, Alexander Souza Ceretta, Paulo Sérgio Costa, Alexandre |
dc.subject.por.fl_str_mv |
Keywords Multidimensional Association Maximal Information Coefficient Coefficient of Determination Ibovespa Asociación Multidimensional Coeficiente Máximo de Información Coeficiente de Determinación Ibovespa Dados dentro de un día. |
topic |
Keywords Multidimensional Association Maximal Information Coefficient Coefficient of Determination Ibovespa Asociación Multidimensional Coeficiente Máximo de Información Coeficiente de Determinación Ibovespa Dados dentro de un día. |
description |
In this paper we analyze three types of association measurements, the coefficient of determination, the multidimensional association and the maximal information coefficient, the first linear, and the other two nonlinear. We utilize 10 minutes intraday data of all Ibovespa stocks, that account for the main stock market index in Brazil, the Ibovespa. Not much of the methods used in this paper have been seen in finance literature, hence the motivation for this study. This methodology is meaningful to traders, as some stocks are highly correlated to the main index, one can base a strategy when they are trading independently in a given day as this pattern should revert to the mean. One of the most important findings of this work is that treating data as nonlinear yielded stronger results. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-03-27 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://portaldeperiodicos.animaeducacao.com.br/index.php/EeN/article/view/2796 10.19177/reen.v8e32015171-186 |
url |
https://portaldeperiodicos.animaeducacao.com.br/index.php/EeN/article/view/2796 |
identifier_str_mv |
10.19177/reen.v8e32015171-186 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://portaldeperiodicos.animaeducacao.com.br/index.php/EeN/article/view/2796/2591 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2016 Revista Eletrônica de Estratégia & Negócios info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2016 Revista Eletrônica de Estratégia & Negócios |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade do Sul de Santa Catarina |
publisher.none.fl_str_mv |
Universidade do Sul de Santa Catarina |
dc.source.none.fl_str_mv |
Revista Eletrônica de Estratégia & Negócios; v. 8 n. 3 (2015); 171-186 1984-3372 1984-3372 reponame:Revista Eletrônica de Estratégia e Negócios instname:Universidade do Sul de SC (UNISUL) instacron:UNISUL |
instname_str |
Universidade do Sul de SC (UNISUL) |
instacron_str |
UNISUL |
institution |
UNISUL |
reponame_str |
Revista Eletrônica de Estratégia e Negócios |
collection |
Revista Eletrônica de Estratégia e Negócios |
repository.name.fl_str_mv |
Revista Eletrônica de Estratégia e Negócios - Universidade do Sul de SC (UNISUL) |
repository.mail.fl_str_mv |
terezinha.angeloni@unisul.br||ademar.unisul@gmail.com |
_version_ |
1800220656650944512 |