Stock exchange shares ranking and binary-ternary compressive coding
Statistical Finance
2022-01-28 v1
Abstract
This paper proposes a method for ranking the investment attractiveness of exchange-traded stocks where investment risk is not related to the volatility indicator but instead is related to the indicator of compression of the time series of price changes. The article describes in detail the ranking algorithm, provides an example of ranking the shares of all companies included in the Dow Jones stock index. The paper additionally compares the results of ranking these stocks by volatility and compression and also shows the strengths of the second indicator, which is formed using the method of binary-ternary compression of historical financial data.
Cite
@article{arxiv.2201.11507,
title = {Stock exchange shares ranking and binary-ternary compressive coding},
author = {Igor Nesiolovskiy},
journal= {arXiv preprint arXiv:2201.11507},
year = {2022}
}
Comments
in Russian