What we’ve been up to for the last week or so…

Regular followers of the blog might have noticed a pronounced drop-off in our output of late. Many of you might have been wondering what the hell we have been up to, so we figured an update was in order…

Visualizations have been of particular interest to MKTSTK, so we have devoted some time and effort to producing unique pictures of the market. In the past we have created large graphs of up to 500 symbols. The static nature of an image file means that such large graphs can be hard to explore and understand.

We have been searching for a better way to communicate our perception of the markets. Due to factors that can best be described as academic inertia, we are comfortable using Python and R, but lately we have been seriously considering JavaScript for producing interactive visualizations. In a sort of convergent evolution, It would seem that we aren’t the only one’s in the quant blogosphere who are openly contemplating the possibilities of JavaScript and finance.

In keeping with this aim, we have been working on translating some of our previous work into interactive versions. In our first effort we have revisited one of our favorite methods: the correlation heatmap, a visualization which uses color to encode a correlation matrix. Click on the following picture to explore an interactive heatmap for the components of the S&P 100:

correlation heatmap

This visualization works best on Chrome, Firefox, or Internet Explorer. It can get pretty wonky on Safari. As always, please comment with any bugs, suggestions, requests, and the like to this post, or send us an email.

Correlation HeatmapOne of the main criticisms of the original S&P 500 heatmap was that you lost track of the axes. Now when you roll your mouse over a cell the information is displayed as a popup over the graph.

Each tooltip contains the current pair in focus as well as the current level of correlation. We have also provided a sparkline rendering the history of the rolling correlation between each stock.

This also marks the beginning of our Corexplore project, which is a groundbreaking platform for financial visualization. Sign-up to become a Beta Tester and get free access to the platform for a limited time until the Beta Period ends. Corexplore is intended as a professional tool for Traders, Portfolio Managers, Risk Managers, Hedge Funds, and other institutions to visualize the complex correlation and volatility structure in modern financial markets.

Keep an eye out for lots of exciting tools being rolled out over the coming months!

Want to learn how to mine social data sources like Estimize, StockTwits, Twitter, and Google Trends? Make sure to download our new book Intro to Social Data for Traders by our very own Thomas Pendergrass

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