EcoSta 2018: Registration
View Submission - EcoSta2018
Title: Dependence structure between Chinese Shanghai and Shenzhen stock market based on copulas and cluster analysis Authors:  Hao Wang - Jilin University (China) [presenting]
Abstract: A copula can fully characterize the dependence of multiple variables through the structure and the corresponding dependence measure. The aim is to present a general approach to study the dependence structure of a high-dimensional financial market based on copulas and hierarchical cluster. The idea is to use vine-copula and pair-copula constructions to show the whole dependence structure of a high-dimensional stock market portfolio and to use hierarchical clustering algorithm to group the assets listed in the stock market for portfolio construction. In practice, the method will be used to check whether there is dependence between the dependence of the two Chinese stock markets, namely Shanghai and Shenzhen. Firstly, the copula and the hierarchical cluster via tail dependence and non linear- correlation measure would be fitted for each market. Then, suitable comparisons will be performed.