# Life time of correlation between stocks prices on established and emerging markets

**Authors:** Andrzej Buda  
**arXiv:** [1105.6272](https://arxiv.org/abs/1105.6272)  
**Date:** 2011-05-31  
**Summary page:** https://www.summarizepaper.com/en/paper/1105.6272v1/

## Key points

- The study by Andrzej Buda focuses on the correlation coefficient between stocks and its role in revealing hierarchical structures within financial markets.
- Buda introduces the concept of Life Time of Correlation to determine the optimal duration for investigating price history to achieve sustained correlation.
- The research delves into both emerging (Poland) and established markets (USA, Great Britain, Germany), providing a comprehensive analysis across different market types.
- Buda discusses traditional correlation metrics like Minimum Spanning Trees and decomposition of correlations, as well as innovative methods such as tree half-life and the Epps effect.
- The study contributes valuable insights into understanding stock price correlations in diverse market environments, offering practical implications for investors and financial analysts seeking to enhance their portfolio strategies and risk management techniques.

## Summary

In the study "Life Time of Correlation between stocks prices on established and emerging markets" by Andrzej Buda, the author examines the correlation coefficient between stocks and its role in revealing hierarchical structures within financial markets. The research highlights the significance of this correlation in portfolio selection and risk estimation. Buda introduces the concept of Life Time of Correlation to determine the optimal duration for investigating price history to achieve sustained correlation. The study delves into both emerging (Poland) and established markets (USA, Great Britain, Germany), providing a comprehensive analysis across different market types. In addition to traditional correlation metrics like Minimum Spanning Trees and decomposition of correlations, Buda also discusses innovative methods such as tree half-life and the Epps effect. This research contributes valuable insights into understanding stock price correlations in diverse market environments. By shedding light on the longevity of correlations and exploring various analytical approaches, Buda's work offers practical implications for investors and financial analysts seeking to enhance their portfolio strategies and risk management techniques.