CONSTRUCTING INDUSTRIAL SECTOR FINANCIAL INDICES

摘要

Methods, systems, and devices are disclosed for producing canonical industrial sector financial indices and weighted decomposition of stocks. In one aspect, a computer implemented method for classifying a financial asset in a financial market into sectors based on price returns of the stocks is described. The method includes identifying sectors in the financial market. The method includes creating a weighted decomposition of the identified sectors for each financial asset in a group of financial assets by assigning weights denoting an extent to which each financial asset's price return includes price returns of the identified sectors.