Friendship Of Stock Indices

@inproceedings{Nagy2016FriendshipOS,
  title={Friendship Of Stock Indices},
  author={L{\'a}szl{\'o} Nagy and Mihaly Ormos},
  booktitle={ECMS},
  year={2016}
}
The aim of this study is to cluster different stock indices based on historical time series data. The current research shows that tail events have minor effect on the equity index structure. It also turns out that major part of the total variance can be explained by clusters. In addition, clusterwise regressions are reliable, hence CAPM with clusters gives real information about risk and reward. 

Review Of Global Industry Classification

TLDR
The financial market implied industry classification standard is introduced with a spectral clustering based quantitative methodology to unveil the Financial Market Implied Classification (FMIC) and it is shown that the normalized modularity cut and GICS are highly comparable.

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