Reconstructing an economic space from a market metric
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. Examples were worked out involving sets of companies from the DJIA and S&P500 indexes.
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Volume (Year): 323 (2003)
Issue (Month): C ()
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