Financial Market Characteristics: A Quantitative Study of Volatility, Liquidity and Correlation

Abstract

Ndatimana Lionel, Niyitegeka Eliezer and Gatete Christophe

The study used advanced statistical techniques and programming python based statistical analysis to assess vital market characteristics such as correlations, volatility and liquidity. The major gap in the existing literature comes from the lack of unified framework that integrates volatility, liquidity and correlation on the market segment, which results into fragmented insights that helps analyst, investors, policy makers making the right decisions. This study managed to fill this gap by deploying an inclusive analytical framework to explore patterns on three market segment S&P 500, NASDAQ Composite and Dow Jones Industrial Average for duration of 9 years from 2015 to 2024. The study findings revealed different practical insight for risk management, optimizing portfolios and policy making using machine learning predictions.

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