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AnalystForum

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tT
发表于 2011-7-11 19:20 | 只看该作者

Data frequency and Asynchronism

frequency, definition, understand, online
This is from the CFAI text SS6 page 18. "Data of high frequency are more sensitive to asynchronism across variables. As a result, high frequency data tend to produce lower correlation estimates"

I looked up the definition of asynchronism online but still don't understand it.

a lack of synchronism or coincidence in time

 

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Windjam

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发表于 2011-7-11 19:20 | 只看该作者
Think about 2 time-series data (i.e - stock returns) for each of the following:

daily movements and monthly movements.

The daily movements of 2 stocks will be noisy and volatile (i.e - 1 day it gives +0.4% return, the next -0.6%, etc). When you measure the correlation of the 2 stock returns using daily data, it will likely be very low.

Monthly movements: this will be less noisy for the 2 stocks and more correlated to each other.

In general, the longer out your data, the more "smoothed" it is. That is why high-frequency data is very noisy (which they call asynchronous). Also, because of this noise, correlation will be very low.

Hope that makes sense.

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jmh530

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发表于 2011-7-11 19:20 | 只看该作者
Thanks, that makes sense now

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Zestt

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发表于 2011-7-11 19:20 | 只看该作者
I think it reveals the underlying issue between using more granular (high-frequency) data. It generalizes the difference between having a large data sample compared to a small one. Over a longer period of time, that close figure wouldn't really impact the rest of the time series as it's only 1 data point out of many, but if you have a small sample of data points, that 1 close figure can impact the data more severely.

Generally, high-frequency data is harder to obtain, so you have a smaller sample. That's how I think about it at least.

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