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Old 06-09-2016, 05:18 PM
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Originally Posted by Sunshine View Post
Sir , I want to remind you this story which you might have forgot

Awsome.
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Old 09-09-2016, 06:27 PM
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this is what it deals with it ?

Quote:
What if we do not have access to industry classi cations based on fundamental
data
15
or one is unavailable for the stock universe we wish to trade? Can we build
an industry classi cation from pricing data, i.e., directly from stock returns? After
all, intuitively, the time series of returns contains information about how correlated
the stocks are. Can we extract it and transform it into an industry classi cation?
The answer is yes, but it is tricky. The key issue is that correlations between
stocks typically are highly unstable out-of-sample. A naive attempt at constructing
an industry classi cation based on stock returns may produce an industry clas-
si cation with subpar performance. Our goal here is to discuss how to mitigate
the out-of-sample instability by building statistical industry classfications based on
clustering quantities other than returns.

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thx
nTuple

Disclaimer: I am not a Research Analyst and not registered with any regulating authority. All posts are for educational purpose only.

Consider us a dumb -dumble guy in this analysis, any type of real time example will be quick-learn approach.
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