A carregar...
Publicação
The dynamics of exchange traded funds : a geometrical and topological approach
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 2.16 MB | Adobe PDF |
Orientador(es)
Resumo(s)
Using a metric related to the returns correlation, a method is applied to the reconstruction
of an economic space from Exchange-Traded Funds (ETFs) data. In the past,
the same method was used in a geometrical analysis of times series of stock returns implying
that the most of the systematic information of that market is contained in a space of
small dimension. Here we have worked with ten years of daily returns of 85 ETF securities
and the same dimensional reduction was obtained. Having a metric defined in the space
of ETF securities, a topological approach is used to define a complete network of ETFs
and its corresponding Minimum Spanning Tree (MST). An outstanding separation of the
two main classes of securities over the MST is uncovered. The dimensional reduction as
well as the uncovered pattern in the topological structure, they both emerge from the
data itself rather than from any modelling resolution.
Descrição
Palavras-chave
Dimensional Reduction Sthocastic Geometry Market Networks Financial Markets ETFs Financial Crises
Contexto Educativo
Citação
Carvalho, Lucas Paiva de e Tanya Araújo (2023). "The dynamics of exchange traded funds : a geometrical and topological approach". REM Working paper series, nº 0302/2023
Editora
ISEG - REM - Research in Economics and Mathematics