{"title":"Macroscopic properties of equity markets: stylized facts and portfolio performance","authors":"Steven Campbell, Qien Song, Ting-Kam Leonard Wong","doi":"arxiv-2409.10859","DOIUrl":null,"url":null,"abstract":"Macroscopic properties of equity markets affect the performance of active\nequity strategies but many are not adequately captured by conventional models\nof financial mathematics and econometrics. Using the CRSP Database of the US\nequity market, we study empirically several macroscopic properties defined in\nterms of market capitalizations and returns, and highlight a list of stylized\nfacts and open questions motivated in part by stochastic portfolio theory.\nAdditionally, we present a systematic backtest of the diversity-weighted\nportfolio under various configurations and study its performance in relation to\nmacroscopic quantities. All of our results can be replicated using codes made\navailable on our GitHub repository.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"212 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Statistical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.10859","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Macroscopic properties of equity markets affect the performance of active
equity strategies but many are not adequately captured by conventional models
of financial mathematics and econometrics. Using the CRSP Database of the US
equity market, we study empirically several macroscopic properties defined in
terms of market capitalizations and returns, and highlight a list of stylized
facts and open questions motivated in part by stochastic portfolio theory.
Additionally, we present a systematic backtest of the diversity-weighted
portfolio under various configurations and study its performance in relation to
macroscopic quantities. All of our results can be replicated using codes made
available on our GitHub repository.