Detecting correlation in stock market
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JΓΆrg D. Wichard; Christian Merkwirth; Maciej OgorzaΕek
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Article
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2004
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Elsevier Science
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English
β 308 KB
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.