Minimum Spanning Tree
08 Mar 2015
To install Systematic Investor Toolbox (SIT) please visit About page.
MKTSTK an another amazing graphics example
to visualize correlation matrix at Stock market visualization: Minimum Spanning Trees
Following their example, I will visualize below the stocks in NASDAQ 100 Index
for the last year using end of the day data and last 5 days using 1 minute data.
I found following references very useful:
Minimum Spanning Tree based on Pearson Correlation for Nasdaq 100 Components based on daily returns for 07-Mar-2014 06-Mar-2015
Next let’s get intraday 1 minute historical quotes and visualize correlation based on the last 5 days:
Minimum Spanning Tree based on Pearson Correlation for Nasdaq 100 Components based on 1 minute returns for 02-Mar-2015 09-30 06-Mar-2015 16-00
(this report was produced on: 2015-03-08)