Systematic analysis of group identification in stock markets

Details Systematic analysis of group identification in stock markets Systematic analysis of group identification in stock markets

2005-03-09

arxiv.org/abs/physics/0503076v3

Phys. Rev. E. 72, 046133 (2005)

Physics

Physics and Society

9 pages, 7 figures

Scientific paper

10.1103/PhysRevE.72.046133

We propose improved methods to identify stock groups using the correlation matrix of stock price changes. By filtering out the marketwide effect and the random noise, we construct the correlation matrix of stock groups in which nontrivial high correlations between stocks are found. Using the filtered correlation matrix, we successfully identify the multiple stock groups without any extra knowledge of the stocks by the optimization of the matrix representation and the percolation approach to the correlation-based network of stocks. These methods drastically reduce the ambiguities while finding stock groups using the eigenvectors of the correlation matrix.

Affiliated with

Also associated with

No associations

Rating

Systematic analysis of group identification in stock markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Systematic analysis of group identification in stock markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Systematic analysis of group identification in stock markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-369845