Table 15 Abbreviations and their full names
From: Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies
Abbreviation | Full name |
|---|---|
CSI 300 | China Securities 300 index |
S&P 500 | Standard & Poor 500 Index |
K–S test | Kolmogorf–Smirnoff test |
MKT | The naïve buy-and-hold investment strategy |
PLL | The pure lead–lag strategy |
Pure-01 | The pure alpha strategy No. 01 |
Enhan-01 | The enhancement strategy based on the alpha strategy No. 01 |
Max-draw | Maximum drawdown |
DM | Diameter of a network |
DS | Density of a network |
PL | Average of path length |
ND | Average of node degree |
CC | Clustering coefficient |