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.
✦ LIBER ✦
Stock market cycles and stock market development in Spain
✍ Scribed by JavierGómez Biscarri; FernandoPérez Gracia
- Publisher
- Springer
- Year
- 2004
- Tongue
- English
- Weight
- 290 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1435-5469
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## Abstract Stock markets are often seen as economic barometers. But until recently, the Chinese stock market hasn't reflected the growth of the Chinese economy. Why was this so? The answer lies in the peculiarities of the Chinese stock market, say the authors. And they explain what foreign investo