Reconstructing an economic space from a market metric

Rui Mendes, Tanya Ara\'ujo and Francisco Lou\c{c}\~a

Papers from arXiv.org

Abstract: 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. Example 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.

Date: 2002-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published in Physica A 323 (2003) 635

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0211108 Latest version (application/pdf)

Related works:
Journal Article: Reconstructing an economic space from a market metric (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0211108

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().