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We addressed two areas of concern regarding the analysis of a financial time series with a correlation structure, coarse graining (or renormalization) and the extraction of leading and lagging structures. We introduce the complex Hilbert principal component analysis to solve these two problems, and apply them to the time series of 33 Tokyo Stock Exchange industry indices and Tokyo Stock Price Index...
Electric industry is now playing a more and more important role in national economic market. As a consequence, economic status demonstrates quite close connection and great correlation with electrical industry. Along with the development of information technology and requirement of accurate resource deployment, economic trend forecasting has become a focus of interdisciplinary studies. Traditionally,...
ICT industry is already the key of current and future world economic development, becomes the focus of world economic competitions, given the current empirical research on the international competitiveness of the ICT industry is extremely scarce, the research on the comprehensive measure of international competitiveness of Chinese ICT industry can make up the shortfall of the theoretical research...
This paper selects the time series dates in 1995–2013 about total output value of the high technology industry and the sum of the import and export trade in Jiangxi province. By ADF test, Johansen test and Granger causality test, we studied the relationship between the high-tech industry and the import and export trade. Studies have show that in Jiangxi province the high technology industry has a...
We analyzed the industry sector-specific international trade data from 1995 to 2011 to clarify the structure and dynamics of communities that consist of industry sectors in various countries linked by international trade. We applied conventional community analysis to each time slice of the international trade network, and then identified the links between communities in adjoining years by using the...
This paper use Anhui province in 1978-2012 years time series data, through amendments to the building after Tell index, calculated the Anhui industrial structure optimization index, and use this index and Anhui financial development scale, development efficiency index, empirical analysis of the industrial structure and the relationship between financial development in Anhui. The results show that:...
Every company listed on the London Stock Exchange is classified into an industry sector based on its primary activity, however, it may be both more interesting and valuable to group similarly performing companies based on their historical stock price record over a long period of time. Using fuzzy clustering analysis with a correlation-based metric, we obtain a more insightful categorization of the...
In this paper, we propose a stock market prediction method based on interrelated time series data. Though there are a lot of stock market prediction models, there are few models which predict a stock by considering other time series data. Moreover it is difficult to discover which data is interrelated with a predicted stock. Therefore we focus on extracting interrelationships between the predicted...
Based on time series data mining method, this article will develop a novel approach for estimating position ratio of international portfolio arbitrage. The integrated approach includes replica technique for assets portfolio, preprocessing of time series of the assets in the portfolio by computer programming, noise clearing and normalization. Then an empirical study is done, using the primary sector...
This paper uses the ultrametric clustering which is based on time series of stock prices. By calculating the ultrametric distance-matrix of the stocks in Shanghai-Shenzhen 300 index, a minimum spanning tree (MST) which has certain topological meaning can be drawn. And this MST explains the physical correlation between the topological structure and economic classification of the stocks trading on markets.
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