Archive for August, 2016

Screwing Liberty

“Screwing Liberty” – My View on the tender offer by Liberty Telecoms

August 31, 2016 at 5:05 pm Leave a comment

Building Financial Networks

A Byte of my 2.2-lb Brain

I have been receiving requests to release the Python code I wrote to produce the financial network discussed in my previous post titled PSE Correlation-Based Network.

Well, here it is! 🙂

finpy

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August 24, 2016 at 1:24 pm Leave a comment

PSE Correlation-Based Network

A Byte of my 2.2-lb Brain

I find the idea of visualizing stock price correlations in a network interesting (albeit not really new).

Two nights ago, the founder of the BOH Society (@genkumag) pointed me to the Slice Matrix site, which describes itself as “a groundbreaking platform for real-time and historical analysis of financial markets, revealing the hidden fabric of price correlation and investor herding behavior.” Looking at some of the features of the platform, which, if I’m not mistaken, also implements the approach introduced by Bonanno et al. [1] (among others), I was inspired to carry out the concept on the Philippine Market. The final output is a network of assets as shown below.

Financial Network

bonanno-pse

Here, we are looking at a minimum spanning tree (MST) constructed from the price correlations of Philippine equities from June to July 2016. This snapshot allows us to see which stocks are influenced by which stocks in…

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August 19, 2016 at 2:37 pm Leave a comment


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