Dynamic spatiotemporal correlation coefficient based on adaptive weight

Mo, Guoli; Tan, Chunzhi; Zhang, Weiguo; Yu, Xuezeng

doi:10.1186/s40854-022-00437-3

Financial Innovation

Table 5 Sharp ratios of portfolio with different correlations

From: Dynamic spatiotemporal correlation coefficient based on adaptive weight

	Stage 1		Stage 2		Stage 3		Stage 4
	ST	T	ST	T	ST	T	ST	T
1	−0.0566	−0.0566	0.0005	0.0005	−0.0301	−0.0301	−0.0130	−0.0130
2	−0.0570	−0.0563	0.0021	0.0021	−0.0215	−0.0195	−0.0113	−0.0114
3	−0.0587	−0.0580	0.0041	0.0038	−0.0206	−0.0184	−0.0090	−0.0090
4	−0.0590	−0.0583	0.0061	0.0056	−0.0163	−0.0147	−0.0064	−0.0065
5	−0.0598	−0.0590	0.0081	0.0075	−0.0125	−0.0111	−0.0034	−0.0036
6	−0.0602	−0.0594	0.0108	0.0101	−0.0081	−0.0075	−0.0003	−0.0003
7	−0.0616	−0.0599	0.0131	0.0126	−0.0034	−0.0033	0.0029	0.0031
8	−0.0643	−0.0620	0.0161	0.0153	0.0013	0.0012	0.0062	0.0069
9	−0.0662	−0.0635	0.0182	0.0181	0.0058	0.0055	0.0095	0.0109
10	−0.0703	−0.0660	0.0211	0.0215	0.0102	0.0097	0.0127	0.0145
11	−0.0660	−0.0625	0.0244	0.0251	0.0155	0.0145	0.0153	0.0180
12	−0.0706	−0.0656	0.0286	0.0295	0.0202	0.0181	0.0190	0.0223
13	−0.0697	−0.0632	0.0341	0.0356	0.0265	0.0225	0.0220	0.0273
14	−0.0710	−0.0601	0.0376	0.0368	0.0324	0.0273	0.0250	0.0299
15	−0.0713	−0.0575	0.0435	0.0453	0.0374	0.0303	0.0290	0.0341
16	−0.0718	−0.0570	0.0454	0.0449	0.0432	0.0335	0.0320	0.0345
17	−0.0718	−0.0568	0.0532	0.0515	0.0468	0.0360	0.0350	0.0399
18	−0.0718	−0.0558	0.0541	0.0552	0.0526	0.0385	0.0391	0.0415
19	−0.0746	−0.0590	0.0560	0.0541	0.0540	0.0415	0.0428	0.0432
20	−0.0710	−0.0551	0.0551	0.0507	0.0604	0.0457	0.0458	0.0478
21	−0.0763	−0.0587	0.0584	0.0536	0.0595	0.0435	0.0499	0.0475
22	−0.0684	−0.0533	0.0554	0.0511	0.0647	0.0447	0.0536	0.0492
23	−0.0746	−0.0574	0.0643	0.0553	0.0657	0.0466	0.0574	0.0485
24	−0.0760	−0.0583	0.0702	0.0542	0.0678	0.0496	0.0602	0.0525
25	−0.0742	−0.0552	0.0692	0.0558	0.0698	0.0513	0.0636	0.0558
26	−0.0674	−0.0522	0.0699	0.0574	0.0701	0.0512	0.0657	0.0541
27	−0.0706	−0.0544	0.0789	0.0561	0.0708	0.0525	0.0684	0.0517
28	−0.0734	−0.0550	0.0738	0.0551	0.0725	0.0534	0.0714	0.0529
29	−0.0682	−0.0537	0.0694	0.0559	0.0716	0.0549	0.0747	0.0551
30	−0.0640	−0.0502	0.0781	0.0608	0.0750	0.0555	0.0711	0.0529
31	−0.0624	−0.0498	0.0777	0.0584	0.0743	0.0562	0.0726	0.0560
32	−0.0666	−0.0537	0.0764	0.0564	0.0739	0.0568	0.0756	0.0574
33	−0.0562	−0.0460	0.0707	0.0585	0.0758	0.0597	0.0860	0.0708
34	−0.0626	−0.0492	0.0741	0.0586	0.0763	0.0606	0.0850	0.0706
35	−0.0581	−0.0471	0.0802	0.0602	0.0772	0.0621	0.0736	0.0582
36	−0.0504	−0.0442	0.0755	0.0606	0.0760	0.0614	0.0717	0.0573
37	−0.0502	−0.0424	0.0772	0.0616	0.0778	0.0628	0.0781	0.0627
38	−0.0456	−0.0404	0.0750	0.0616	0.0783	0.0631	0.0663	0.0547
39	−0.0402	−0.0367	0.0748	0.0623	0.0771	0.0647	0.0661	0.0559
40	−0.0359	−0.0329	0.0724	0.0618	0.0772	0.0656	0.0599	0.0514
41	−0.0406	−0.0341	0.0692	0.0611	0.0779	0.0663	0.0552	0.0484
42	−0.0340	−0.0297	0.0676	0.0606	0.0789	0.0671	0.0494	0.0447
43	−0.0268	−0.0227	0.0655	0.0600	0.0796	0.0681	0.0489	0.0445
44	−0.0252	−0.0210	0.0639	0.0592	0.0798	0.0691	0.0519	0.0466
45	−0.0221	−0.0188	0.0623	0.0589	0.0797	0.0703	0.0511	0.0461
46	−0.0195	−0.0166	0.0609	0.0587	0.0796	0.0715	0.0488	0.0444
47	−0.0165	−0.0142	0.0599	0.0582	0.0787	0.0727	0.0408	0.0390
48	−0.0133	−0.0116	0.0589	0.0579	0.0778	0.0739	0.0399	0.0383
49	−0.0102	−0.0096	0.0581	0.0576	0.0754	0.0751	0.0360	0.0354
50	−0.0073	−0.0073	0.0574	0.0574	0.0760	0.0760	0.0332	0.0332

ST spatiotemporal correlation, T time series correlation

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