Detecting Correlation in Stock Market (2004)
by
J.D. Wichard
,
M. Ogorzalek
,
C. Merkwirth
,
Maciej Ogorza̷lek A
| Venue: | Physica A: Statistical Mechanics and its Applications, Volume 344, Issues 1-2 |
| Citations: | 7 - 5 self |
BibTeX
@INPROCEEDINGS{Wichard04detectingcorrelation,
author = {J.D. Wichard and M. Ogorzalek and C. Merkwirth and Maciej Ogorza̷lek A},
title = {Detecting Correlation in Stock Market},
booktitle = {Physica A: Statistical Mechanics and its Applications, Volume 344, Issues 1-2},
year = {2004},
pages = {308--311}
}
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Abstract
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.
Citations
| 25 | Hierarchical Structure in Financial Markets - Mantegna - 1999 |
| 24 | The elements of statistical learning. Springer Series in Statistics - Hastie, Tibshirani, et al. - 2001 |
