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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2019-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0221910 |