CLUSTER ANALYSIS OF DISTRIBUTION LAWS LOGARITHMIC STOCK RETURNS RUSSIAN COMPANIES

UDC 519.213: 51-77
DOI: 10.36871/2618-9976.2023.06.009

Authors

Sergei Ya. Krivolapov,
Candidate of Physicomathematical Science, Associate Professor. Associate Professor of the Department of Mathematics Financial University under the Government of the Russian Federation, Moscow, Russia

Abstract

The problem of systematization of the laws of distribution of the logarithmic profitability of shares according to the data on stock quotes of 216 companies on the Moscow Exchange is considered. For each company, the "distance" (used in Kolmogorov's fit test) is calculated from its sample to 12 symmetrical distribution laws. According to the results of cluster analysis of the obtained data array, 5 relatively homogeneous clusters were identified. Python language tools are used to fit the distribution law and perform cluster analysis.

Keywords

Cluster analysis, Distribution fitting, Kolmogorov's criterion, Stock logistic returns, Python language