Epochs in Market Sector Index Data — Empirical or Optimistic?

摘要: We introduce here the concept of “epochs’ in market movements (i.e. periods co-movements stocks). These EURO-STOXX sector data are characterised by linear relationships between price and eigenvalue change. The evidence suggests strong time dependence model coefficients but residuals strongly dependent on granularity sampling rate) with fit breaking down at rates smaller than five days. Possible reasons for this breakdown presented together additional arguments relative merits correlation variance-covariance matrix eigenanalyses measuring stocks.