about me
game theory
... more
Subscribe Weblog

Taylor Effect: It is by now well established in the financial econometrics literature that high frequency time series of financial returns are often uncorrelated but not independent because there are non-linear transformations which are positively correlated. In 1986 Taylor observed that the empirical sample autocorrelations of absolute returns, |r|, are usually larger than those of squared returns, |r|^2. A similar phenomena is observed by Ding et al. (1993) who examined daily returns of the S&P 500 index and conclude that, for this particular series, the autocorrelations of absolute returns raised to the power of θ are maximized when θ is around 1, that is, the largest autocorrelations are found in the absolute returns. Granger and Ding (1995) denote this empirical property of financial returns as Taylor Effect. Therefore, if rt, t = 1,...T, is the series of returns and ρθ(k) denotes the sample autocorrelation of order k of |rt|θ, θ > 0, the Taylor effect can be defined as follows:

ρ1(k) > ρθ(k) for any θ ≠ 1.

However, Granger and Ding (1994, 1996) analyze several series of daily exchange rates and individual stock prices, and conclude that the maximum autocorrelation is not always obtained when θ = 1 but for smaller values of θ. Nevertheless, they point out that the autocorrelations of absolute returns are always larger than the autocorrelations of squares. [1] This can also be observed when looking at USDCHF High Frequency FX rates (1996-04-01 00:00:00 to 2001-03-30 23:30:00; 62,496 observations):
teffectPlot, k = 1,...,10:
Scaling Law: Some financial time series show a selfsimilar behavior under temporal aggregation. The 'empirical scaling law' relates the average of the unconditional volatility, measured as the absolute value of the return, r(ti), over a time interval to the size of the time interval:
where the drift exponent 1/E is an estimated constant that Müller et al. (1990) find to be similar across different currencies and ΔT is a time constant that depends on the currency [2]. The Wiener process, a continuous Gaussian random walk, exhibits a scaling law with a drift exponent of 0.5 (slope of green line). The estimated drift component for the USDCHF series is 0.52, which is actually not statistically different from 0.5:
For more information see Fractals and Intrinsic Time - A Challenge to Econometricians.

Here is the official Rmetrics site.

[1]: see Stochastic Volatility Models and the Taylor Effect, Alberto Mora-Galán and Ana Pérez and Esther Ruiz
[2] see The Impact of News on Foreign Exchange Rates: Evidence from High Frequency Data, Dirk Eddelbuettel and Thomas H. McCurdy
maskodok meinte am 15. Jan, 01:22:
Interesting topic for a blog. I have been searching the Internet for fun and came upon your website. Fabulous post. Thanks a ton for sharing your knowledge! It is great to see that some people still put in an effort into managing their websites. I'll be sure to check back again real soon.
Mobil Sedan COrolla,Idrpoker.com agen Texas poker Online Indonesia Terpercaya, Mobil Sedan COrolla, Cipto Junaedy 
kimcil (guest) antwortete am 7. Apr, 12:53:
An international team of 18 mathematicians has mapped one of the largest and most complicated structures in mathematics. If written out on paper, the calculation describing this structure, known as E8, would cover an area the size of Manhattan.
alfamart official partner merchandise fifa piala dunia brazil 2014
Unit Link Terbaik di Indonesia Commonwealth Life Investra Link 
begedir antwortete am 18. May, 12:29:
Interesting topic for a blog. I have been searching the Internet for fun and came upon your website cara cepat belajar bahasa inggris , tips cepat hamil, kata kata ramadhan , sabar ,
johncloe8885 antwortete am 22. Sep, 13:48:
instead of paying bills,
instead of paying bills, so you can pay by cash advances loans. credit guaranteed payday loans card cash advance interest rate, compared to the very low. will pay off the 12 month loans
loan over time, this 30-day period, and 7, you repay the loan to be quick loans
confirmed your payment as a way to get cash when I get kept so loans without credit check
other than service. Once you improve your credit rating, You can short term loans
choose the cash advance payment.(Of course, if you're bad.)

However, this type logbook loans
of loan is very high interest rates in light of some of the major drawbacks. 
odellnoel1 antwortete am 22. Sep, 14:36:
Disposal of a credit
Disposal of a credit check, you are looking for loan financing you can go to one of the following options: this is your next payday for short term unsecured guarantor loans However, these loans are interest rates can go 30-35% higher. offer you a checking account banking, employment and there bad credit loans is a need to address the evidence of proof of this medication is one of the reasons for the increase in bills, and these quick loans are credit card payments, home improvement personal loan instant approval of the application, in case of payday loans no credit check are approved within monthly loans 24-48 hours. 
johncloe8885 antwortete am 26. Sep, 11:26:
Therefore, it should be identified as safe as a small Christmas in Canada and instant cash, you are faced property development finance with a Key phase Require inevitable.For people to maintain their privacy, and
forex robot
to encourage online applications go.Credit application in the bar, the credit report defective person.Financing best forex trading platform
plan to waive fax.Unsecured cash alternative.Thus, within a year, authorities said Half of the minimum protection of asset finance
the borrower's credit request.They, make sure loans for people on benefits
that the borrower's monthly income is instant payday loans
very large.
Small box of Christmas when appropriate adult citizens in Canada.One important thing is There is a positive and effective checking account. 
maskodok antwortete am 23. Nov, 13:05:
I am preparing a research paper and collecting information on this topic. Your post is one of the better that I have read. Thank you for putting this information into one post.
Pokerstar88.com agen texas poker dan domino online indonesia terpercaya, Agen Bola, Taruhan Bola, Agen Bola Terpercaya, Olb365.com Agen Judi Bola Online, Agen Judi Casino Online Indonesia Terpercaya 
deviyudis antwortete am 10. Dec, 02:04:
Your information is really interesting. Thank you very much for taking the time to share with us. Iklan Gratis 
Han (guest) meinte am 10. Jun, 12:45:
Concrete Posts

Wedding rings 
tsflw meinte am 5. Aug, 12:30:
Great Information sharing .. I am very happy to read this article .. thanks for giving us go through info.Fantastic nice. I appreciate this post. watch movies online 
uofix meinte am 6. Sep, 12:23:
Thanks for sharing the post.. parents are worlds best person in each lives of individual..they need or must succeed to sustain needs of the family.
ttlwu meinte am 23. Sep, 15:49:
Admiring the time and effort you put into your blog and detailed information you offer!..
kurasakisan meinte am 23. Sep, 17:30:
Thank you for your effort to writing this post. I really love this and I think I will leave my comment on every of your article

Shadow Fight 2 Apk 
uofix meinte am 2. Oct, 15:12:
Nice to be visiting your blog again, it has been months for me. Well this article that i've been waited for so long. I need this article to complete my assignment in the college, and it has same topic with your article. Thanks, great share.
iphone news app india 
dio (guest) meinte am 5. Oct, 21:42:
wow, this is the new secret for me. Very helpful to know this formula.
thanks for good posting.
Game Review Informations
Console Game Review
EA Games 
ttlwu meinte am 27. Oct, 09:23:
I high appreciate this post. It’s hard to find the good from the bad sometimes, but I think you’ve nailed it! would you mind updating your blog with more information?
uflsu meinte am 6. Nov, 11:49:
Interesting post. I Have Been wondering about this issue, so thanks for posting. Pretty cool post.It 's really very nice and Useful post.Thanks
uflsu meinte am 9. Nov, 13:13:
I went over this website and I believe you have a lot of wonderful information, saved to my bookmarks
watch movies online 
ttlwu meinte am 24. Nov, 10:31:
Thanks for sharing the info, keep up the good work going.... I really enjoyed exploring your site. good resource...
ttlwu meinte am 4. Dec, 11:17:
Thanks for sharing this information. I really like your blog post very much. You have really shared a informative and interesting blog post with people..
the best trick photography 
nedved1000 meinte am 17. Dec, 16:21:
thanks so much for that great blog and thanks also for accepting my links thanks
????? ??? ??????? ????? ??? ????? ??? ????? ??? ??????? ????? ??? ???????? ????? ??? ????? ????? ??? ????? ??????? ????? ??????
thanks so much i like very so much your post
????? ?????? ????? ???????? ????? ?????? ????? ??? ?????? ???? ???????? ????? ????? ????? ???????? ????? ?????? ????? ?????? ?????? ????? 
ttlwu meinte am 20. Dec, 12:47:
I was looking at some of your posts on this website and I conceive this web site is really instructive! Keep putting up..