Characterizing stock market data using time series analysis within industries
Abstract
Using a new metric combining Pearson's r and Mutual Information, the study revealed trends within the stock market prices of certain industries within the Philippines. The stock prices of the companies within the Securities, Reinsurance, Transportation, Housewares, Renewable Energy, and Industrial Electronics industries were found to have a positive correlation (p < 0.05) within their respective industries. On the other hand, the stock prices of companies in the Hotels, Water Transportation, Building Materials, Oil/Gas Products, Water Utilities, Life Insurance, Non-Alcoholic Beverages, Semiconductors, and the Passenger Airlines industries were found to have a negative correlation (p < 0.05). These results can aid economists and stock traders in analyzing the state of the Philippine economy. Further studies could include the introduction of time delays to the time series analysis and the analysis of other real-world time series data.
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Physics at the front and center: Strengthening core values in physics research
18–21 August 2016, University of the Philippines Visayas, Iloilo City
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