Dissecting financial markets: Sectors and states

Details Dissecting financial markets: Sectors and states Dissecting financial markets: Sectors and states

2002-07-05

arxiv.org/abs/cond-mat/0207156v1

Physics

Condensed Matter

Statistical Mechanics

6 pages 4 figures. Additional information available at http://www.sissa.it/dataclustering/fin/

Scientific paper

By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that patterns of daily market-wide economic activity cluster into classes that can be identified with market states. The distribution of frequencies of market states shows scale-free properties and the memory of the market state process extends to long times ($\sim 50$ days). Assets in the same sector behave similarly across states. We characterize market efficiency by analyzing market's predictability and find that indeed the market is close to being efficient. We find evidence of the existence of a dynamic pattern after market's crashes.

Affiliated with

Also associated with

No associations

Rating

Dissecting financial markets: Sectors and states 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 Dissecting financial markets: Sectors and states, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dissecting financial markets: Sectors and states will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-586860