Abstract

Some Statistical Tests and Experiments for Correlation of Financial Series

Nikolai Dokuchaev
Trent University - Department of Mathematics

July 25, 2009

Abstract:
This short note describes some statistical tests and experiments for serial correlations of historical stock prices. More precisely, some parameters calculated via empirical characteristics functions are compared with the same parameters for time series with known degree of correlation.

Keywords: financial time series, serial correlations, non-parametric methods, technical analysis, statistical validation

JEL Classifications: C14, C15, C51, C52

Working Paper Series

Date posted: November 02, 2009 ; Last revised: November 04, 2009

Suggested Citation

Dokuchaev, Nikolai, Some Statistical Tests and Experiments for Correlation of Financial Series (July 25, 2009). Available at SSRN: http://ssrn.com/abstract=1439122

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Contact Information

Nikolai Dokuchaev (Contact Author)

Trent University - Department of Mathematics ( email )

1600 West Bank Drive
Peterborough, Ontario K9J 7B8
Canada