Autocorrelation in FOREX

To inform the construction of a machine learning-based price prediction algorithm, we want to understand how many lags prove statistically significant with regard to autocorrelation in the seven major FOREX pairs. So we first choose 10,000 random time points between January 1, 2000 and January 1, 2017 for each of the seven pairs. Then we […]

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 […]

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 […]

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 […]