LINEAR AND NONLINEAR ASSOCIATION MEASURES WITH INTRADAY/HIGH FREQUENCY DATA FOR ALL IBOVESPA STOCKS

Autores

  • Alexander Souza Block Universidade Federal do Pampa
  • Paulo Sérgio Ceretta Universidade Federal de Santa Maria (UFSM)
  • Alexandre Costa Universidade Federal de Santa Maria (UFSM)

DOI:

https://doi.org/10.19177/reen.v8e32015171-186

Palavras-chave:

Keywords, Multidimensional Association, Maximal Information Coefficient, Coefficient of Determination, Ibovespa,

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.

Biografia do Autor

  • Paulo Sérgio Ceretta, Universidade Federal de Santa Maria (UFSM)
    Professor na Universidade Federal de Santa Maria (UFSM)
    Doutor em Engenharia de Produção pela Universidade Federal de Santa Catarina (UFSC)
  • Alexandre Costa, Universidade Federal de Santa Maria (UFSM)

    Doutorando no PPGA da Universidade Federal de Santa Maria (UFSM)

    Mestre em Administração pela UFSM

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Publicado

2016-03-27

Edição

v. 8 n. 3 (2015)

Seção

Artigos Científicos

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