54,098 research outputs found
Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis
We review some methods recently used in the literature to detect the
existence of a certain degree of common behavior of stock returns belonging to
the same economic sector. Specifically, we discuss methods based on random
matrix theory and hierarchical clustering techniques. We apply these methods to
a set of stocks traded at the New York Stock Exchange. The investigated time
series are recorded at a daily time horizon.
All the considered methods are able to detect economic information and the
presence of clusters characterized by the economic sector of stocks. However,
different methodologies provide different information about the considered set.
Our comparative analysis suggests that the application of just a single method
could not be able to extract all the economic information present in the
correlation coefficient matrix of a set of stocks.Comment: 13 pages, 8 figures, 2 Table
Sector identification in a set of stock return time series traded at the London Stock Exchange
We compare some methods recently used in the literature to detect the
existence of a certain degree of common behavior of stock returns belonging to
the same economic sector. Specifically, we discuss methods based on random
matrix theory and hierarchical clustering techniques. We apply these methods to
a portfolio of stocks traded at the London Stock Exchange. The investigated
time series are recorded both at a daily time horizon and at a 5-minute time
horizon. The correlation coefficient matrix is very different at different time
horizons confirming that more structured correlation coefficient matrices are
observed for long time horizons. All the considered methods are able to detect
economic information and the presence of clusters characterized by the economic
sector of stocks. However different methods present a different degree of
sensitivity with respect to different sectors. Our comparative analysis
suggests that the application of just a single method could not be able to
extract all the economic information present in the correlation coefficient
matrix of a stock portfolio.Comment: 28 pages, 13 figures, 3 Tables. Proceedings of the conference on
"Applications of Random Matrices to Economy and other Complex Systems",
Krakow (Poland), May 25-28 2005. Submitted for pubblication to Acta Phys. Po
A Comparative Study of Pairwise Learning Methods based on Kernel Ridge Regression
Many machine learning problems can be formulated as predicting labels for a
pair of objects. Problems of that kind are often referred to as pairwise
learning, dyadic prediction or network inference problems. During the last
decade kernel methods have played a dominant role in pairwise learning. They
still obtain a state-of-the-art predictive performance, but a theoretical
analysis of their behavior has been underexplored in the machine learning
literature.
In this work we review and unify existing kernel-based algorithms that are
commonly used in different pairwise learning settings, ranging from matrix
filtering to zero-shot learning. To this end, we focus on closed-form efficient
instantiations of Kronecker kernel ridge regression. We show that independent
task kernel ridge regression, two-step kernel ridge regression and a linear
matrix filter arise naturally as a special case of Kronecker kernel ridge
regression, implying that all these methods implicitly minimize a squared loss.
In addition, we analyze universality, consistency and spectral filtering
properties. Our theoretical results provide valuable insights in assessing the
advantages and limitations of existing pairwise learning methods.Comment: arXiv admin note: text overlap with arXiv:1606.0427
Identifying States of a Financial Market
The understanding of complex systems has become a central issue because
complex systems exist in a wide range of scientific disciplines. Time series
are typical experimental results we have about complex systems. In the analysis
of such time series, stationary situations have been extensively studied and
correlations have been found to be a very powerful tool. Yet most natural
processes are non-stationary. In particular, in times of crisis, accident or
trouble, stationarity is lost. As examples we may think of financial markets,
biological systems, reactors or the weather. In non-stationary situations
analysis becomes very difficult and noise is a severe problem. Following a
natural urge to search for order in the system, we endeavor to define states
through which systems pass and in which they remain for short times. Success in
this respect would allow to get a better understanding of the system and might
even lead to methods for controlling the system in more efficient ways.
We here concentrate on financial markets because of the easy access we have
to good data and because of the strong non-stationary effects recently seen. We
analyze the S&P 500 stocks in the 19-year period 1992-2010. Here, we propose
such an above mentioned definition of state for a financial market and use it
to identify points of drastic change in the correlation structure. These points
are mapped to occurrences of financial crises. We find that a wide variety of
characteristic correlation structure patterns exist in the observation time
window, and that these characteristic correlation structure patterns can be
classified into several typical "market states". Using this classification we
recognize transitions between different market states. A similarity measure we
develop thus affords means of understanding changes in states and of
recognizing developments not previously seen.Comment: 9 pages, 8 figure
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