Degree of correlation inside a financial market

Abstract

I present an empirical study of the correlations observed between pairs of time series of stock prices in the New York Stock Exchange. I verify that various degrees of correlations or anti-correlations are present inside a financial market and I study the time evolution of these correlations. I briefly discuss how these empirical observations might be consistent with the well accepted hypothesis of absence of arbitrage in an efficient financial market (i.e. that there is no way of extracting money from the market in a continuous way without risk).