Bayesian network modeling stock price change

Taking a cue from the systems biology folks, I decided to model stock price change interactions using a dynamic Bayesian network. For this analysis I focused on the members of the Dow Jones Industrial Average (DJIA) that are listed on the New York Stock Exchange (NYSE). Bayesian Networks A Bayesian network is an acyclic directed […]

clustering stocks by price correlation (part 2)

In my last post, “clustering stocks by price correlation (part 1)“, I performed hierarchical clustering of NYSE stocks by correlation in weekly closing price. I expected the stocks to cluster by industry, and found that they did not. I proposed several explanations for this observation, including that perhaps I chose a poor distance metric for […]

hacking the stock market (part 1)

Caveat: I am not a technical investor–just a hobbyist, so take this analysis with a grain of salt. I am also just beginning with my Master’s work in statistics. I wanted to examine the correlation between changes in the daily closing price of the Dow Jones Industrial Average (DJIA) and lags of those changes, to […]