1 Introduction In the financial market,the partial correlation is a technical tool for studying the relationships between stocks,pairs trading,and industry classification[1,2].Many of these studies[2-4]focus on tradit...1 Introduction In the financial market,the partial correlation is a technical tool for studying the relationships between stocks,pairs trading,and industry classification[1,2].Many of these studies[2-4]focus on traditional statistical methods,which solve the partial correlation of stocks with a large number of observation samples and a relatively small number of stocks.For example,Jung and Chang[2]used 10 years of daily-level data to calculate the partial correlation matrix of 300 stocks.展开更多
基金supported by the General Financial Grant from Jiangsu Natural Science Foundation for Youth in 2014(BK20140075).
文摘1 Introduction In the financial market,the partial correlation is a technical tool for studying the relationships between stocks,pairs trading,and industry classification[1,2].Many of these studies[2-4]focus on traditional statistical methods,which solve the partial correlation of stocks with a large number of observation samples and a relatively small number of stocks.For example,Jung and Chang[2]used 10 years of daily-level data to calculate the partial correlation matrix of 300 stocks.
