Financial Risks across Stock and Bond Markets

Analysis of the risk characteristics of the Chinese capital market with clustering, minimum spanning tree, and other machine learning methods.

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Suggested citation

Guanting, Li (2024). Financial Risks across Stock and Bond Markets. Q2 ecosystem. Available at https://quantinar.com/course/827/financial-risks-across-stock-and-bond-market or http://dx.doi.org/10.24818/IDA-CL/2024.99.

@misc{guanting2024, author = {Guanting, Li}, title = {Financial Risks across Stock and Bond Markets}, year = {2024}, howpublished = {Q2 ecosystem}, doi = {http://dx.doi.org/10.24818/IDA-CL/2024.99.}, url = {https://quantinar.com/course/827/financial-risks-across-stock-and-bond-market} }
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2 components

	Financial Risks across Stock and Bond Markets (pdf)	4.99 M
	Financial Risks across Stock and Bond Markets (video)	20 min

Requirements

Good knowledge of applied multivariate statistics

General Overview

Description

We tried to group industries according to the simultaneously volatile risks on the stock and bond markets, tried to find the core industries of the risk linkage network, and make a forecast. Methods used include: several types of clustering, minimum spanning tree, and machine learning.