Dissecting financial markets: sectors and states

摘要: Abstract By analysing a large data set of daily returns with the maximum likelihood clustering technique, we identify economic sectors as clusters assets similar dynamics. The sector size distribution follows Zipf's law. Secondly, find that patterns market-wide activity cluster into classes can be identified market states. frequencies states shows scale-free properties and memory state process extends to long times (∼50 days). Assets in same behave similarly across We characterize efficiency by market's predictability is indeed close being efficient. evidence existence dynamic pattern after crashes.