Financial Market Implied Industry Classification
Financial Market Implied Industry Classification

Author(s): László Nagy, Mihály Ormos
Subject(s): Business Economy / Management, Methodology and research technology, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: Cluster analysis; market classification; GICS; machine learning;
Summary/Abstract: This paper introduces the financial market implied industry classification standard. Besides current industry classifications we propose a spectral clustering based quantitative methodology. The main drawback of current standards come from their qualitative classification techniques which can be eliminated in this purely mathematical concept. Calculating the market implied clusters and compering them with global industry classification explores that market implied classification provides better statistical results. However it also turns out that different clustering techniques provide similar classifications, moreover, both methods determine “Real Estate” as a cluster.

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