/SDS-HW2

Here you find the homework 2 of Statistical Methods in Data Science class of the MSc in Data Science @ La Sapienza University, Rome

Primary LanguageHTMLMIT LicenseMIT

SDS-HW2

Graphical Models

alt text

This work studies the dependency among stocks via marginal correlation graphs.

To this end, we collect the daily closing prices for D stocks, selected within those consistently in the S&P500 index from January 1, 2003 through 2007.

The stocks are categorized into 11 Global Industry Classification Standard (gics) sectors, including Consumer Discretionary,Energy, Financials, Consumer Staples, Telecommunications Services, Health Care, Industrials, Information Technology, Materials, Real Estate and Utilities. It is expected that stocks from the same gics sectors should tend to be clustered together, since stocks from the same gics sector tend to interact more with each other.

Marginal Correlation Graphs are an example of Graphical Models.

Script and Other files descriptions

  1. HW1.rmd: This R markdown contains all the useful chunks to get the proposed requests, deeply commented to have a clear view of the logic behind.

  2. HW1.html: This html files contains the presentation of the markdown.