英文标题：
《Correlation Patterns in Foreign Exchange Markets》
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作者：
Lasko Basnarkov, Viktor Stojkoski, Zoran Utkovski and Ljupco Kocarev
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最新提交年份：
2019
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英文摘要：
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient measures such as the means and covariances of the respective log returns. Here, we develop transformation equations for these means and covariances when one changes the numeraire. The results are verified by a thorough empirical analysis capturing the dynamics of numerous assets in a foreign exchange market. We show that the partial correlations between pairs of assets are invariant under the change of the numeraire. This observable quantifies the relationship between two assets, while the influence of the rest is removed. As such the partial correlations uncover intriguing observations which may not be easily noticed in the ordinary correlation analysis.
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中文摘要：
金融市场中一项资产的价值以另一项资产（称为计价单位）的形式给出。价值的动态性是非平稳的，因此，为了量化不同资产之间的关系，需要方便的度量，例如各个对数回报的均值和协方差。在这里，当改变数值时，我们为这些均值和协方差建立变换方程。通过对外汇市场中大量资产的动态进行全面的实证分析，验证了上述结果。我们证明了资产对之间的偏相关在数值变化下是不变的。这一可观察指标量化了两项资产之间的关系，而其余资产的影响则被消除。因此，偏相关揭示了在普通相关分析中可能不容易注意到的有趣观察结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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