Home Forums Market Map what is the market map?

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    Blade Plissken

    market map is a 2D projection (sammons) of the pearson correlation matrix. this means nodes near each other are more similar than ones far apart, creating a topology preserving map. Distance has meaning in this 2D space, its an embedding.

    The map’s data source is calculated from 5-second updated ETF ask price data, anchored window of data. this means the dataframe starts updating at 9:30 AM EST and continues to add rows to the dataframe until closing.

    clusters of these nodes in the embedding space will correlate to the factors from factor analysis, varimax rotation.

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