英文标题：
《A Study of Correlations in the Stock Market》
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作者：
Chandradew Sharma, Kinjal Banerjee
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最新提交年份：
2015
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英文摘要：
We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the sectorial indices movement and the correlations among them. Our analysis shows significant auto correlation among the individual sectors and also strong cross-correlation among sectors. We also find that auto correlations in some of the sectors persist in time. This is a very significant result and has not been reported so far in Indian context These findings will be very useful in model building for prediction of price movement of equities, derivatives and portfolio management. We show that the Random Walk Hypothesis is not applicable in modeling the Indian market and Mean-Variance-Skewness-Kurtosis based portfolio optimization might be required. We also find that almost all sectors are highly correlated during large fluctuation periods and have only moderate correlation during normal periods.
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中文摘要：
我们对孟买证券交易所（BSE）的各个部门进行了为期8年的研究，从2006年4月到2014年3月。利用八年期的日收益率数据，我们对部门指数的运动模式及其相互关系进行了直接的无模型分析。我们的分析表明，各个部门之间存在显著的自相关，部门之间也存在较强的互相关。我们还发现，一些行业的自相关性在时间上持续存在。这是一个非常重要的结果，到目前为止在印度还没有报道过。这些发现将对预测股票、衍生品和投资组合管理价格变动的模型构建非常有用。我们表明，随机游走假设不适用于印度市场建模，可能需要基于均值-方差-偏度-峰度的投资组合优化。我们还发现，几乎所有行业在大波动期都具有高度相关性，而在正常期只有中等相关性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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