Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE

The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the period of rapid transformation of the market following liberalization. The eigenvalue distribution of the cross-correlation matrix, $\mathbf{C}$, of NSE is found to be similar to that of developed markets, such as the New York Stock Exchange (NYSE): the majority of eigenvalues fall within the bounds expected for a random matrix constructed from mutually uncorrelated time series. Of the few largest eigenvalues that deviate from the bulk, the largest is identified with market-wide movements. The intermediate eigenvalues that occur between the largest and the bulk have been associated in NYSE with specific business sectors with strong intra-group interactions. However, in the Indian market, these deviating eigenvalues are comparatively very few and lie much closer to the bulk. We propose that this is because of the relative lack of distinct sector identity in the market, with the movement of stocks dominantly influenced by the overall market trend. This is shown by explicit construction of the interaction network in the market, first by generating the minimum spanning tree from the unfiltered correlation matrix, and later, using an improved method of generating the graph after filtering out the market mode and random effects from the data. Both methods show, compared to developed markets, the relative absence of clusters of co-moving stocks that belong to the same business sector. This is consistent with the general belief that emerging markets tend to be more correlated than developed markets.Comment: 15 pages, 8 figures, to appear in Proceedings of International Workshop on "Econophysics & Sociophysics of Markets & Networks" (Econophys-Kolkata III), Mar 12-15, 200

A Combined Signal Approach To Technical Analysis On The S&P 500

This paper examines the effectiveness of nine technical trading rules on the S&P 500 from January 1950 to March 2008 (14,646 daily observations).  The annualized returns from each trading rule are compared to a naïve buy-and-hold strategy to determine profitability. Over the 59 year period, only the moving-average cross-over (1,200) and (5,150) trading rules were able to outperform the buy-and-hold trading strategy after adjusting for transaction costs. However, excess returns were generated by employing a Combined Signal Approach (CSA) on the individual trading rules. Statistical significance was confirmed through bootstrap simulations and robustness through sub-period analysis.&nbsp

Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500

In this article, we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular, both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average (MA) trading rule, dominate the long-only, passive investment in the index. In particular, using the latter rule we find that popular stop-loss rules do not add value and that monthly end-of-month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally, we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing

Horsterwold - Veluwe - Maaswoud: een quick scan van robuuste ecologische verbindingen van het ambitieniveau 'edelhert'

De natuur in Nederland raakt steeds meer versnipperd. De gevolgen worden goed zichtbaar wanneer wordt gekeken naar de situatie van grote zoogdieren als het edelhert. Teruggedrongen achter rasters in een sub-optimaal habitat leven zij op twee plaatsen: de Veluwe en de Oostvaardersplassen. Het voorkomen van edelherten in andere, grootschalige natuurgebieden wordt van belang geacht voor de compleetheid van deze ecosystemen. Realisatie van de EHS biedt in dit opzicht onvoldoende kansen. Daarom zijn door het Rijk en de provincies een aantal zogenaamde robuuste verbindingen indicatief op kaart gezet. Doel daarbij kan zijn uitbreiding van het huidige leefgebied van het edelhert en het bieden van de mogelijkheid van migratie. Dit rapport is de weerslag van een ecologisch onderzoek naar mogelijke aanvullingen op de reeds verkende robuuste verbindingen voor het edelhert. Daartoe werden elf potentiële tracés verkend. Onderzocht is de mogelijkheid om de Veluwe te verbinden met het Horsterwold, de Utrechtse Heuvelrug en Duitsland via de Gelderse Poort. Tevens is onderzocht hoe vanuit dit laatste gebied de verbinding met het Maaswoud zou kunnen worden gerealiseerd. Ecologische en economische argumenten worden gepresenteerd om te helpen een keuze te bepalen tussen de mogelijke verbindingen

Economic Activity of Firms and Asset Prices

In this review we survey the recent research on the fundamental determinants of stock returns. These studies explore how firms' systematic risk and their investment and production decisions are jointly determined in equilibrium. Models with production provide insights into several types of empirical patterns, including (a) the correlations between firms' economic characteristics and their risk premia, (b) the comovement of stock returns among firms with similar characteristics, and (c) the joint dynamics of asset returns and macroeconomic quantities. Moreover, by explicitly relating firms' stock returns and cash flows to fundamental shocks, models with production connect the analysis of financial markets with the research on the origins of macroeconomic fluctuations