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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
Friendship
Of Stock Indices |
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Authors: |
Laszlo Nagy, Mihaly
Ormos |
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Published in:
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(2016).ECMS 2016 Proceedings edited
by: Thorsen Claus, Frank Herrmann, Michael Manitz, Oliver Rose, European Council for Modeling and
Simulation. doi:10.7148/2016 ISBN:
978-0-9932440-2-5 30th
European Conference on Modelling and Simulation, Regensburg Germany, May 31st
– June 3rd, 2016 |
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Citation
format: |
Laszlo Nagy, Mihaly
Ormos (2016). Friendship Of Stock Indices, ECMS
2016 Proceedings edited by: Thorsten Claus, Frank Herrmann, Michael Manitz, Oliver Rose European
Council for Modeling and Simulation. doi:10.7148/2016-0152 |
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DOI: |
http://dx.doi.org/10.7148/2016-0152 |
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Abstract: |
The aim of this study is to cluster
different stock indices based on historical time series data. The current research shows that tail
events have minor effect on the equity index structure. It also turns out
that major part of the total variance can be explained by
clusters. In addition, cluster wise regressions are reliable CAPM with
clusters gives real information about risk and reward. |
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Full
text: |
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