Polyspectral Mean based Time Series Clustering of Indian Stock Market

ArXiv ID: 2504.07021 “View on arXiv”

Authors: Unknown

Abstract

In this study, we employ k-means clustering algorithm of polyspectral means to analyze 49 stocks in the Indian stock market. We have used spectral and bispectral information obtained from the data, by using spectral and bispectral means with different weight functions that will give us varying insights into the temporal patterns of the stocks. In particular, the higher order polyspectral means can provide significantly more information than what we can gather from power spectra, and can also unveil nonlinear trends in a time series. Through rigorous analysis, we identify five distinctive clusters, uncovering nuanced market structures. Notably, one cluster emerges as that of a conglomerate powerhouse, featuring ADANI, BIRLA, TATA, and unexpectedly, government-owned bank SBI. Another cluster spotlights the IT sector with WIPRO and TCS, while a third combines private banks, government entities, and RELIANCE. The final cluster comprises publicly traded companies with dispersed ownership. Such clustering of stocks sheds light on intricate financial relationships within the stock market, providing valuable insights for investors and analysts navigating the dynamic landscape of the Indian stock market.

Keywords: Spectral Analysis, Bispectral Analysis, Clustering, Time Series, Indian Stock Market

Complexity vs Empirical Score

  • Math Complexity: 8.5/10
  • Empirical Rigor: 7.2/10
  • Quadrant: Holy Grail
  • Why: The paper employs advanced higher-order spectral analysis (polyspectra, bispectral means) and derived mathematical formulas, indicating high math complexity. It uses real financial data from the NIFTY 50, performs clustering with a defined methodology (k-means, gap statistic), and presents concrete results (specific stock clusters), demonstrating strong empirical implementation.
  flowchart TD
    A["Research Goal<br>Clustering 49 Indian Stocks using Higher-Order Spectra"] --> B["Data Input<br>Indian Stock Market Time Series"]
    B --> C["Methodology<br>Polyspectral Means with Weight Functions"]
    C --> D["Computational Process<br>K-means Clustering of Bispectral Means"]
    D --> E["Key Findings<br>Identification of 5 Distinctive Clusters"]
    E --> F["Outcomes<br>Market Structure Analysis & Investment Insights"]