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 […]

# Tag: NYSE

## 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 […]

## clustering stocks by price correlation (part 1)

I’ve been building my knowledge of clustering techniques to apply to genetic circuit engineering, and decided to try the same tools for stock price analysis. In this post I describe building a hierarchical cluster of stocks by pairwise correlation in weekly price, to see how well the stocks cluster by industry, and compare the derived […]