Detecting correlation in stock market

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.

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Year of publication:	2004
Authors:	Wichard, Jörg D. ; Merkwirth, Christian ; Ogorzałek, Maciej
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 308-311
Publisher:	Elsevier
Subject:	Econophysics \| Multivariate analysis \| Time series analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011057602