Up: 2:3-4

The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data

David Bicchetti; Nicolas Maystre

Algorithmic Finance (2013), 2:3-4, 233-239
DOI: 10.3233/AF-13028

Published: Abstract, PDF.
Archived: SSRN.

Abstract

This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break, characterized by correlations that have significantly departed from zero to positive territories, since late September 2008. Our results support the idea that high frequency trading and algorithmic strategies have an effect on the behaviour of commodity prices.

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Harvard University

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AT&T Labs Research

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Boston University

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Massachusetts Institute of Technology

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Wolfram Research

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California Institute of Technology

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Columbia University

Ming-Yang Kao

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Lawrence Berkeley National Laboratory

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Georgia Tech

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Yale University

Robert Webb

University of Virginia

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Giovanni Barone-Adesi

University of Lugano

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University of California, San Diego

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