# 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/fr/paper/1105.6272v1/

## Abstract

The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of Correlation between stocks prices to know how far we should investigate the price history to obtain the optimal durability of correlation. I carry out my research on emerging (Poland) and established markets (in the USA, Great Britain and Germany). Other methods, including the Minimum Spanning Trees, tree half-life, decomposition of correlations and the Epps effect are also discussed.