Symbolic Analysis of Financial Data
Françoise Goupil, M. Touati, Edwin Diday, H. van der Veen · 2000
We have as input two portfolio of stocks managed by ING bank (North Holland). Each portfolio and each stock is described by several variables every open day of a week and during eight weeks. A portfolio is characterised by variables as its value, its performance, a stock is characterised by variable as its value, its number in the portfolio and its performance. In this paper, we study a symbolic data table where each row represents one of the eight weeks and each column represents a variable which value is an interval [min, max] corresponding to the minimum and maximum values taken during this week. Hence each cell of the data table contains an interval instead a number as usual. The SODAS software aim to extend standard data analysis to more complex data like financial data. In this paper we use it in order to study the performance of two portfolio in relation with their stocks. It results from this study that Sodas is able to study the internal variation of classes (here, the weeks) by giving explanations and graphics.