Sector Indices Correlation Analysis in China's Stock Market
β Scribed by Cao, Dingmu; Long, Wen; Yang, Wenning
- Book ID
- 121509080
- Publisher
- Elsevier
- Year
- 2013
- Tongue
- English
- Weight
- 366 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1877-0509
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## a b s t r a c t We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scalin
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.