2 papers
q-fin.PM2011
Portfolios and the market geometry
Samuel Eleutério, Tanya Araújo, R. Vilela Mendes
A geometric analysis of the time series of returns has been performed in the past and it implied that the most of the systematic information of the market is contained in a space o…
cond-mat.stat-mech2002
Reconstructing an economic space from a market metric
R. Vilela Mendes, Tanya Araújo, Francisco Louçã
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic stru…