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 […]

# stocks

## 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 […]

## net change of zero between closing and opening stock prices

I decided to investigate the variation between trading days’ closing prices and the following trading days’ opening prices for stocks listed on the New York Stock Exchange. I started with data in the following format for all trading days between January 2nd 2000 and October 30th 2014: I then calculated the percent change between one […]

## Apache Spark and stock price causality

The Challenge I wanted to compute Granger causality (described below) for each pair of stocks listed in the New York Stock Exchange. Moreover, I wanted to analyze between one and thirty lags for each pair’s comparison. Needless to say, this requires massive computing power. I used Amazon EC2 as the computing platform, but needed a […]

## 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 […]