Корреляции рынков. Квантитативная диагностика ФОРТС.

2. 2013.

. , . 1/13/6, .2, 35, 101000
+7 495 774 24 88
http://55floor.maragingpartners.ru
infomaragingpartners.ru

2. 2013

,
. , CSIFORTS
0.45 0.5 , .
1.1
. . . . . . . . . . . . . . . . . . . . .
1.2
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.1
. . . . . . . . . . . . . . . . . . . . . . .
2.2
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.4
. . . . . . . . . . . . . . . . . . . . . . . . . .
2.4.1
. . . . . . . . . . . . . . . . . . . .
2.4.2
. . . . . . . . . . . . .
14
A.1
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A.2
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
14
A.3
. . . . . . . . . . . . . . . . . . . . . . .
14
A.4
FORTS CSI . . . . . . . . . . . . . . . . . . . . . .
15
A.5
FORTS CBPI . . . . . . . . . . . . . .
15
17
17
1
, . , ,
- [1.
2
1.1

, - , ( ) -, , , ,
.
-
.
.
1.2
,
.
. 55-
:
http://55floor.maragingpartners.ru/index.php/finan ial-market- orrelation-review
1.3
,
, , ,
1, .
,
:
2
2.1
. .
.
.
.
, : ( ),
.

, .
,

-.
.
, , , , , (
) . CSI
. Correlation Strength Index
2
CBPI .
FORTS CSI
. . CSI A.4.
CBPI
CSI . CBPI
1 1 ,
. CBPI A.5.
.
A.
2.2
, .
:
1. RI RTS
2. BR Brent
3. ED EUR/USD
4. EU EUR/RUB
5. SI USD/RUB
2.3
, : .
-, , ,
. , . ,
.
-, ,
.
1:
2013
CSIFORTS
CBP IFORTS
CBP IFORTS,0
2013
0.0017
0.454
0.0455
0.0502
2011
0.00219
0.488
0.0348
0.0478
2010
0.00231
0.522
0.0523
0.0493
2
3
. Correlation-Based Predi tability Index

. Futures and Options on RTS,
2
a) lag 0
b) lag 1
1
0.06
0.8
0.04
0.6
4
0.4
0.2
0
2
time series 2
time series 2
0.02
0
3
-0.02
-0.04
-0.2
-0.06
-0.4
1
-0.08
-0.6
1
3
4
time series 1
3
4
time series 1
-0.1
Maraging Partners
1: 2013 . ,

. , ()
()
j,
j,

a) b)
j (td = ti tj = 1,
). ,
1 5, : 1 RTS, 2 Brent, 3 EUR/USD, 4 EUR/RUB,

5 USD/RUB.
a) lag 0
b) lag 1
1
0.06
0.8
0.04
0.6
0.02
4
0.4
0.2
0
2
-0.2
time series 2
time series 2
0
-0.02
-0.04
-0.06
-0.08
-0.4
1
-0.1
1
-0.6
1
3
4
time series 1
3
4
time series 1
-0.12
Maraging Partners
2: , 1, 2010 . Flash Crash 6

2010 .
2
a) lag 0
b) lag 1
1
0.06
5
0.8
0.04
0.6
4
0.4
0.2
0
2
time series 2
time series 2
-0.2
0.02
0
-0.02
2
-0.04
-0.4
1
-0.06
-0.6
1
3
4
time series 1
3
4
time series 1
5
-0.08
Maraging Partners
3: , 1, 2011 . 2011 ,
.
2.4
, 2013 , 1.
: 2010 2011 . 1, 2, 3
, ,
.
4 CSI CBPI , 2009 2013 .
2.4.1
4 .
, .
Flash Crash 2010 .
2011
S&P. ,
CSI , .
CSI 2010 .
,
CSI .
, CSI (,
, CBPI, )
- :

, -
,
.
: ,
.
2013
2
1. , 5,
, USD/RUB.
,
:
CSIFORTS
0.365 0.454,
EUR/RUB USD/RUB
CSIFORTS
CSIFORTS , ,
, ,
,
, -
-
(),
. , CSI .
CSIFORTS .

CSIFORTS
( 1 5).
-
1 ,
2 3: - (5,4), 2010 ( EUR/RUB USD/RUB),
(4,3), 2011 ( EUR/RUB EUR/USD, EUR),
(5,3), ( USD/RUB EUR/USD, USD).
( 5),
EUR/RUB USD/RUB .

- , .
,
: USD EUR RUB , USD EUR ,
. 5 , .

2010 ( Flash Crash,
2010 (CSIFORTS
,
= 0.408, ),
CSIFORTS = 0.488).
CSIFORTS = 0.522),
2011 (
:
,
. ,
CSIFORTS 0.45 0.5 ,
.
2
2.4.2
, , , , ,
.
, ,
, ,
,
.
FORTS CBPI - ,
.

. .
CSI
, , , CBPI .

CBP IFORTS,0
CBP IFORTS
(. A.5) ,
, ,
. ,
,
( , , . .).
6 , 2009, 2010 2011 :

USD/RUB Brent,
EUR/USD, RTS, EUR/RUB USD/RUB. 2012,
.
7,8,9,10,11,12 .
2
QE1
QE2
0.005
QE3
S&P Downgrade
Flash Crash
0.006
FORTS Volatility
0.004
0.003
0.002
10.08
04.09
10.09
05.10
11.10
06.11
12.11
06.12
01.13
07.13
06.11
12.11
06.12
01.13
07.13
06.11
12.11
06.12
01.13
07.13
date
0.5
FORTS CSI
0.45
0.4
0.35
0.3
0.25
10.08
04.09
10.09
05.10
11.10
date
0.1
FORTS CBPI
0.09
FORTS CBPI zero benchmark
FORTS CBPI
0.08
0.07
0.06
0.05
0.04
0.03
10.08
04.09
10.09
05.10
11.10
date
4:
(FORTS Volatility),
(FORTS CSI) (FORTS CBPI) .

., , .
USD/RUB, Brent 0 lag correlation
2
-0.1
-0.2
-0.3
-0.4
-0.5
-0.6
-0.7
-0.8
-0.9
09.08
04.09
10.09
04.10
11.10
05.11
12.11
06.12
12.12
07.13
05.11
12.11
06.12
12.12
07.13
05.11
12.11
06.12
12.12
07.13
05.11
12.11
06.12
12.12
07.13
USD/RUB, EUR/USD 0 lag correlation
date
-0.3
-0.4
-0.5
-0.6
-0.7
-0.8
-0.9
-1
-1.1
-1.2
09.08
04.09
10.09
04.10
11.10
EUR/RUB, USD/RUB 0 lag correlation
date
1
0.8
0.6
0.4
0.2
0
-0.2
-0.4
-0.6
09.08
04.09
10.09
04.10
11.10
USD/RUB, RTS 0 lag correlation
date
-0.3
-0.4
-0.5
-0.6
-0.7
-0.8
-0.9
09.08
Maraging Partners
5:
04.09
10.09
04.10
11.10
date

.
( A.3).

2
10
USD/RUB, Brent 1 lag correlation
0.2
0.1
-0.1
-0.2
09.08
04.09
10.09
04.10
11.10
05.11
12.11
06.12
12.12
07.13
05.11
12.11
06.12
12.12
07.13
05.11
12.11
06.12
12.12
07.13
05.11
12.11
06.12
12.12
07.13
USD/RUB, EUR/USD 1 lag correlation
date
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
-0.2
-0.25
09.08
04.09
10.09
04.10
11.10
EUR/RUB, USD/RUB 1 lag correlation
date
0.25
0.2
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
-0.2
09.08
04.09
10.09
04.10
11.10
date
USD/RUB, RTS 1 lag correlation
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
-0.2
-0.25
-0.3
09.08
Maraging Partners
10.09
04.10
11.10
date
6:
04.09

, (.
.
( A.3).

2
Pearson-normalized autocorrelation
0.3
11
RTS Index
Brent
EUR/USD
EUR/RUB
0.2
USD/RUB
0.1
-0.1
-0.2
0
2
Maraging Partners
7:
4
6
time lag, hours
10
, -
( A.3). , -
Pearson correlation, intermarket
.
BR,ED
BR,EU
BR,SI
RI,BR
0.4
0.2
-0.2
-0.4
-10
-5
Maraging Partners
8:
0
time lag, hours
10
Brent (BR)
,
( A.3).
EUR/RUB, SI: USD/RUB, RI: RTS Index.
ED: EUR/USD, EU:
2
BR,ED
ED,EU
ED,SI
RI,ED
0.8
12
0.6
0.4
0.2
0
-0.2
-0.4
-0.6
-0.8
-10
-5
Maraging Partners
0
time lag, hours
10
9: EUR/USD (ED) ,
( A.3). BR: Brent, ED: EUR/USD,
EU: EUR/RUB, SI: USD/RUB, RI: RTS Index.
0.8
BR,EU
ED,EU
EU,SI
RI,EU
0.6
0.4
0.2
-0.2
-10
-5
Maraging Partners
0
time lag, hours
10
10: EUR/RUB (EU) ,

( A.3). BR: Brent, ED: EUR/USD,
EU: EUR/RUB, SI: USD/RUB, RI: RTS Index.
2
13
RI,BR
RI,ED
RI,EU
RI,SI
0.4
0.2
0
-0.2
-0.4
-0.6
-10
-5
Maraging Partners
0
time lag, hours
10
11: RTS Index (RI) ,

( A.3). BR: Brent, EU: EUR/RUB,
ED: EUR/USD, SI: USD/RUB.
BR,SI
ED,SI
EU,SI
RI,SI
0.2
-0.2
-0.4
-0.6
-0.8
-10
-5
Maraging Partners
0
time lag, hours
10
12: USD/RUB (SI) ,

( A.3). BR: Brent, EU: EUR/RUB,
ED: EUR/USD, RI (RTS Index).
A
14
A
A.1
.

x(t),
V [x] =
E[ ]|t
p
E[x2 (t)]|t ,
.
(1)
,
0.
A.2
. -
x1 (t)
x2 (t)
:
C[td |x1 , x2 ] = E[x1 (t + td ), x2 (t)]|t ,
(2)
td
x1
x2 ,
td = t1 t2 ,
E[ ]|t
.
x1
.
td ,
(3)
x2
,
x1
x2
C
x2
x1
0. -
.

l > 0 A B ,
3, -
x1
x2 , x1 : t1 = t2 + l.
l < 0, x2 .
x1
x2
, ,
. .
A.3

CP
, , ,
1:
CP 1.
(4)
, 4
. ,
C[td |x1 , x2 ]
CP [td |x1 , x2 ] = p
.
V [x1 ]V [x2 ]
(5)
A
A.4
15
FORTS CSI
FORTS CSI
. .
, , -
, . ,
, ,
.
CSI. , 5
, 10 :
1
10
|CP [0|RI,BR]| + |CP [0|RI,ED]| + |CP [0|RI,EU]| + |CP [0|RI,EU]| + |C(0|RI,SI)|
+|C[0|BR,ED]| + |C[0|BR,EU]| + |C[0|BR,SI]

+|C[0|ED,EU]| + |C[0|ED,SI]|
CSIFORTS =
CP [td |A, B]
(6)
,
, A B,
td
(0 CSI). , CSI
0 1.
CSIFORTS 1
(7)
, 2008, Flash Crash

2010, 2011, ,
( ),
CSI.
A.5
FORTS CBPI
CSI
. CBPI
1 1 .
CSI, . 5
10 .
, ( , ).
, . , 25 : 5 20 .
A
16
1
25
|CP [1|RI,RI]| + |CP [1|BR,BR]| + |CP [1|ED,ED]| + |CP [1|EU,EU]| + |CP [1|SI,SI]|
+|CP [1|RI,BR]| + |CP [1|RI,ED]| + |CP [1|RI,EU]| + |CP [1|RI,SI]|
CBP IFORTS =
+|CP [1|BR,ED]| + |CP [1|BR,EU]| + |CP [1|BR,SI]|

+|CP [1|ED,EU]| + |CP [1|ED,SI]|
(8)
+|CP [1|EU,SI]|
+|CP [1|RI,BR]| + |CP [1|RI,ED]| + |CP [1|RI,EU]| + |CP [1|RI,SI]|
+|CP [1|BR,ED]| + |CP [1|BR,EU]| + |CP [1|BR,SI]|
+|CP [1|ED,EU]| + |CP [1|ED,SI]|

+|CP [1|EU,SI]|
CSI, CBPI 0 1.
CBP IFORTS 1
(9)
, " ",
CBPI . ,
, CBPI .
, CBPI
, ,
, CBPI, , , ,
.
, CBPI
, - .

( , ) .
, ( ) , "", ,
. ,
CBP IFORTS,0 =
p
2/
(10)
0.8 , "" ( )

FORTS CBPI
"" FORTS CBPI

,
- .
17

. , . 1/13/6, .2, 35, 101000
+7 495 774 24 88
http://55floor.maragingpartners.ru
infomaragingpartners.ru
, Ph.D.,
,
m.kopytinmaragingpartners.ru
,
,

e.kazantsevmaragingpartners.ru
,
,

f.sav henkovmaragingpartners.ru
C

- ,
-
.
, .

- , , . ,
/, .
, /, , ,
, , . /.

- , ,

,
, . .
,
, .
[1 " " 1, 2013
18

Корреляции рынков. Квантитативная диагностика ФОРТС.

Загружено:

Сведения о документе

Авторское право

Доступные форматы

Поделиться этим документом

Поделиться или встроить документ

Параметры публикации

Этот документ был вам полезен?

Это неприемлемый материал?

Авторское право:

Доступные форматы

Корреляции рынков. Квантитативная диагностика ФОРТС.

Загружено:

Авторское право:

Доступные форматы



http://55floor.maragingpartners.ru/index.php/finan ial-market- orrelation-review

. Correlation Strength Index

. Correlation-Based Predi tability Index

1 5, : 1  RTS, 2  Brent, 3  EUR/USD, 4  EUR/RUB,

 2: ,  1, 2010 . Flash Crash 6

 6 ,    2009, 2010 2011 :

FORTS CBPI zero benchmark

(FORTS CSI) (FORTS CBPI) .

USD/RUB, Brent 0 lag correlation

USD/RUB, EUR/USD 0 lag correlation

EUR/RUB, USD/RUB 0 lag correlation

USD/RUB, RTS 0 lag correlation

USD/RUB, Brent 1 lag correlation

USD/RUB, EUR/USD 1 lag correlation

EUR/RUB, USD/RUB 1 lag correlation

USD/RUB, RTS 1 lag correlation

Pearson correlation, intermarket

ED: EUR/USD, EU:

Pearson correlation, intermarket

 10:  EUR/RUB (EU) ,

Pearson correlation, intermarket

 11:  RTS Index (RI) ,

Pearson correlation, intermarket

 12:  USD/RUB (SI) ,

C[td |x1 , x2 ] = E[x1 (t + td ), x2 (t)]|t ,

, 2008, Flash Crash

+|CP [1|BR,ED]| + |CP [1|BR,EU]| + |CP [1|BR,SI]|

"" FORTS CBPI

[1 " " 1,  2013

Вам также может понравиться

1 5, : 1 RTS, 2 Brent, 3 EUR/USD, 4 EUR/RUB,

2: , 1, 2010 . Flash Crash 6

6 , 2009, 2010 2011 :

10: EUR/RUB (EU) ,

11: RTS Index (RI) ,

12: USD/RUB (SI) ,

, 2008, Flash Crash

[1 " " 1, 2013