Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series
AbstractWe investigated the topological properties of stock networks constructed by a minimal spanning tree. We compared the original stock network with the estimated network; the original network is obtained by the actual stock returns, while the estimated network is the correlation matrix created by random matrix theory. We found that the consistency between the two networks increases as more eigenvalues are considered. In addition, we suggested that the largest eigenvalue has a significant influence on the formation of stock networks.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 388 (2009)
Issue (Month): 6 ()
Contact details of provider:
Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Random matrix theory; Minimal spanning tree; Stock market;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
- Wang, Gang-Jin & Xie, Chi & Han, Feng & Sun, Bo, 2012. "Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4136-4146.
- Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2010. "Topological properties of stock market networks: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3240-3249.
- Leonidas Sandoval Junior, 2011. "A Map of the Brazilian Stock Market," Papers 1107.4146, arXiv.org, revised Mar 2013.
- Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
- Wang, Gang-Jin & Xie, Chi & Chen, Shou & Yang, Jiao-Jiao & Yang, Ming-Yan, 2013. "Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3715-3730.
- Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
- Eom, Cheoljun & Kwon, Okyu & Jung, Woo-Sung & Kim, Seunghwan, 2010. "The effect of a market factor on information flow between stocks using the minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1643-1652.
- Hu, Sen & Yang, Hualei & Cai, Boliang & Yang, Chunxia, 2013. "Research on spatial economic structure for different economic sectors from a perspective of a complex network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3682-3697.
- Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy.
- Lee, Sangwook & Kim, Min Jae & Kim, Soo Yong, 2011. "Interest rates factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2531-2548.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.