Variables analyzed (Yahoo finance) Boeing (BA) NASDAQ Dell General Electric (GE) General Motors (GM) IBM

) IBM McDonalds (MD) Microsoft (MSFT) Coca Cola Pepsi Cola

Original data (Yahoo finance)

BA, COCA, DELL, GE
100

BA = black, COCA = green, DELL = blue, GE = cyan

Price per share

20

40

60

80

1990

1995

2000 Time, years

2005

2010

Logarithm base 10 of data

BA, COCA, DELL, GE

2 Price per share -1 0 1

BA = black, COCA = green, DELL = blue, GE = cyan

-2

1990

1995

2000 Time, years

2005

2010

Scree plot (values of PCs variances)

Scree plot
8 Variances 0
Comp.1

Comp.3

Comp.5

Comp.7

Comp.9

First two principal components

PC -5
1990

10

15

20

1995

2000 Time, years

2005

2010

Loadings

First two principal components less the means, sign corrected

PC

-4

-2

1990

1995

2000 Time, years

2005

2010

Detrended time series (STL)

BA, COCA, DELL, GE
0.4 Price per share -0.4
1990

-0.2

0.0

0.2

1995

2000 Time, years

2005

2010

Normal Probability Plots for Detrended Data

Normal Q-Q Plot
0.15

BA

Normal Q-Q Plot NASDAQ

0.05

Sample Quantiles

Sample Quantiles

-0.05

-0.15

-0.15
-4

-0.05

0.05

-4

-2

0 Theoretical Quantiles

-2

0 Theoretical Quantiles

Normal Q-Q Plot

0.15

MSFT

Normal Q-Q Plot

PEPSI

Sample Quantiles

Sample Quantiles

0.05

-0.05

-0.15

-0.10
-4

-0.05

0.00

0.05

-4

-2

0 Theoretical Quantiles

-2

0 Theoretical Quantiles

Scree plot (values of PCs variances)

Variances

0.0
Comp.1

1.0

2.0

3.0

Comp.3

Comp.5

Comp.7

Comp.9

Loadings

Chi-square Normality test using original data (p=10)

Statistical distances

0
0

10

20

30

40

50

10

15

20

25

30

35

Theoretical quantiles of chi-square distribution

Chi-square Normality test (BA+NASDAQ)

Statistical distances

0
0

10

20

30

40

50

10

15

Theoretical quantiles of chi-square distribution

Normality test (BA+NASDAQ)

NASDAQ

-4

-2

-4

-2

Boeing

Chi-square Normality test (NASDAQ+DELL)

Statistical distances

0
0

10

20

30

40

50

10

15

Theoretical quantiles of chi-square distribution

Normality test (NASDAQ+DELL)

DELL

-4
-4

-2

-2

NASDAQ

Chi-square Normality test using PCs (p=10)

Statistical distances

0
0

10

20

30

40

50

10

15

20

25

30

35

Theoretical quantiles of chi-square distribution

Chi-square Normality test using PC1+PC2

Statistical distances

0
0

10

20

30

40

50

10

15

Theoretical quantiles of chi-square distribution

Normality test using PC1+PC2

Normal Q-Q Plot PC1

Sample Quantiles

-2

Normal PC2 Q-Q Plot

-4 -2 0 Theoretical Quantiles 2 4

Sample Quantiles

-4
-4

-2

-2

0 Theoretical Quantiles

Normality test, using PC1 + PC2

Principal component 2

-5

10

-5

10

Principal component 1

Chi-square Normality test using PC3 + + PC10

Statistical distances

0
0

10

20

30

40

50

10

15

20

25

30

Theoretical quantiles of chi-square distribution

Relationship between PC1 and data

BOEING

-5

10

-5

10

Principal component 1

Relationship between PC1 and data

NASDAQ

-5

10

-5

10

Principal component 1

Relationship between PC3 and data

COCA

-4

-2

-4

-2

Principal component 3

Time series of statistical distance for PC1 and PC2

Stat distance PC1+PC2 10 15 20 25 30 0 5

1990

1995

2000 Time in years

2005

2010

Time series of statistical distance for PC3, , PC10

Stat distance PC3-PC10 80 100 0 20 40 60

1990

1995

2000 Time in years

2005

2010

First two PCs for 3000 initial data points

PC2

-5

10

-5

0
PC1

10

First two PCs for 3000 initial data points

PC2

-5

10

-5

0
PC1

10

First two PCs for data points 4990-5000

PC2

-5

10

-5

0
PC1

10

First two PCs for data points 4000-4100

PC2

-5

10

-5

0
PC1

10

First two PCs for data points 3300-3500

PC2

-5

10

-5

0
PC1

10