期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 323, 期 -, 页码 635-650出版社
ELSEVIER
DOI: 10.1016/S0378-4371(03)00014-1
关键词
market metric; economic space; factors
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related to the number of terms in factor models. Examples were worked out involving sets of companies from the DJIA and S&P500 indexes. Having a metric defined in the space of companies, network topology coefficients may be used to extract further information from the data. A notion of continuous clustering is defined and empirically related to the occurrence of market shocks. (C) 2003 Elsevier Science B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据