Correlation estimation using components of Japanese candlesticks
利用日本蜡烛图中影线部分与经典开高低收价格的差异，改进了双变量布朗运动的相关性估计量，提高了效率和稳健性，并在四大金融市场实证中验证了优势。
Using the wick’s difference from the classical Japanese candlestick representation of daily open, high, low, close prices brings efficiency when estimating the correlation in a bivariate Brownian motion. An interpretation of the correlation estimator given in [Rogers, L.C.G. and Zhou, F., Estimating correlation from high, low, opening and closing prices. Ann. Appl. Probab., 2008, 18(2), 813–823] in the light of wicks’ difference allows us to suggest modifications, which lead to an increased efficiency and robustness over the baseline model. An empirical study of four major financial markets confirms the advantages of the modified estimator.