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Mutual information based stock networks and portfolio selection for intraday traders using high frequency data: An Indian market case study

In this paper, we explore the problem of establishing a network among the stocks of a market at high frequency level and give an application to program trading. Our work uses high frequency data from the National Stock Exchange, India, for the year 2014. To begin, we analyse the spectrum of the corr...

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Detalles Bibliográficos
Autores principales: Sharma, Charu, Habib, Amber
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2019
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6715228/
https://www.ncbi.nlm.nih.gov/pubmed/31465507
http://dx.doi.org/10.1371/journal.pone.0221910