Polyspectral Mean based Time Series Clustering of Indian Stock Market

2025-04-09 · Dhrubajyoti Ghosh

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.

📄 PDF Abstract BibTeX arXiv:2504.07021

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ClusteringTime SeriesTime Series Clustering

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