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Detecting correlation in stock market

✍ Scribed by Jörg D. Wichard; Christian Merkwirth; Maciej Ogorzałek

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
308 KB
Volume
344
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

✦ Synopsis

We present a new method for detecting dependencies in the stock market. In order to find hidden correlations in the daily returns, we build cross prediction models and use the normalized modeling error as a generalized correlation measure that extends the concept of the classical correlation matrix.

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