PSE Correlation-Based Network
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.  (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.
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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Entry filed under: Phisix's Closet (PSEi).