Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/151067
Title: Identifying actionable serial correlations in financial markets
Authors: Cheong, Siew Ann
Lee, Yann Wei
Li, Ying Ying
Lim, Jia Qing
Tan, Jadie Jiok Duan
Teo, Joan Xin Ping
Keywords: Science::Mathematics
Issue Date: 2021
Source: Cheong, S. A., Lee, Y. W., Li, Y. Y., Lim, J. Q., Tan, J. J. D. & Teo, J. X. P. (2021). Identifying actionable serial correlations in financial markets. Frontiers in Applied Mathematics and Statistics, 7, 641595-. https://dx.doi.org/10.3389/fams.2021.641595
Journal: Frontiers in Applied Mathematics and Statistics
Abstract: Financial markets are complex systems where information processing occurs at multiple levels. One signature of this information processing is the existence of recurrent sequences. In this paper, we developed a procedure for finding these sequences and a process of statistical significance testing to identify the most meaningful ones. To do so, we downloaded daily closing prices of the Dow Jones Industrial Average component stocks, as well as various assets like stock market indices, United States government bonds, precious metals, commodities, oil and gas, and foreign exchange. We mapped each financial instrument to a letter and their upward movements to words, before testing the frequencies of these words against a null model obtained by reshuffling the empirical time series. We then identify market leaders and followers from the statistically significant words in different cross sections of financial instruments, and interpret actionable trends that can be traded upon.
URI: https://hdl.handle.net/10356/151067
ISSN: 2297-4687
DOI: 10.3389/fams.2021.641595
Rights: © 2021 Cheong, Lee, Li, Lim, Tan and Teo. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) and the copyright owner(s) are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Journal Articles

Files in This Item:
File Description SizeFormat 
fams-07-641595.pdf2.06 MBAdobe PDFView/Open

Page view(s)

36
Updated on Oct 18, 2021

Download(s)

18
Updated on Oct 18, 2021

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.