dorsal/arxiv
View SchemaSector analysis for a FTSE portfolio of stocks
| Authors | R. Coelho, S. Hutzler, P. Repetowicz, P. Richmond |
|---|---|
| Categories | |
| ArXiv ID | physics/0601189 |
| URL | https://arxiv.org/abs/physics/0601189 |
| DOI | 10.1016/j.physa.2006.02.050 |
| Journal | Physica A 373, 615 (2007) |
Abstract
Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the associated minimal spanning tree (MST). The first four moments of the distribution of correlations and lengths of the tree are examined in detail and differences in behaviour noted. For different economic groups and industries, clustering is evident. However comparing the classification used prior to 2006 with that introduced in January 2006 it is clear that the new classification, apart from one or two notable exceptions, is much more compatible with the clustering obtained by the MST analysis. We finally compare the MST for real data with that obtained for a synthetic {\it random market}. The latter tree would seem more like the structure found by Coronnello {\it et al.} for trees based on high frequency data.
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"abstract": "Using a portfolio of stocks from the London Stock Exchange FTSE100 index\n(FTSE), we study both the time dependence of their correlations and the\nnormalized tree length of the associated minimal spanning tree (MST). The first\nfour moments of the distribution of correlations and lengths of the tree are\nexamined in detail and differences in behaviour noted. For different economic\ngroups and industries, clustering is evident. However comparing the\nclassification used prior to 2006 with that introduced in January 2006 it is\nclear that the new classification, apart from one or two notable exceptions, is\nmuch more compatible with the clustering obtained by the MST analysis. We\nfinally compare the MST for real data with that obtained for a synthetic {\\it\nrandom market}. The latter tree would seem more like the structure found by\nCoronnello {\\it et al.} for trees based on high frequency data.",
"arxiv_id": "physics/0601189",
"authors": [
"R. Coelho",
"S. Hutzler",
"P. Repetowicz",
"P. Richmond"
],
"categories": [
"physics.soc-ph"
],
"doi": "10.1016/j.physa.2006.02.050",
"journal_ref": "Physica A 373, 615 (2007)",
"title": "Sector analysis for a FTSE portfolio of stocks",
"url": "https://arxiv.org/abs/physics/0601189"
},
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