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Survivability and centrality measures for networks of financial market indices

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  • Leonidas Sandoval Junior

Abstract

Using data from 92 indices of stock exchanges worldwide, I analize the cluster formation and evolution from 2007 to 2010, which includes the Subprime Mortgage Crisis of 2008, using asset graphs based on distance thresholds. I also study the survivability of connections and of clusters through time and the influence of noise in centrality measures applied to the networks of financial indices.

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  • Leonidas Sandoval Junior, 2012. "Survivability and centrality measures for networks of financial market indices," Papers 1201.4490, arXiv.org.
    • Handle: RePEc:arx:papers:1201.4490
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    References listed on IDEAS

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    1. Onnela, J.-P. & Chakraborti, A. & Kaski, K. & Kertész, J., 2003. "Dynamic asset trees and Black Monday," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 247-252.
    2. Heimo, Tapio & Kaski, Kimmo & Saramäki, Jari, 2009. "Maximal spanning trees, asset graphs and random matrix denoising in the analysis of dynamics of financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(2), pages 145-156.
    3. Sitabhra Sinha & Raj Kumar Pan, 2007. "Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE," Papers 0704.2115, arXiv.org.
    4. Ausloos, M. & Lambiotte, R., 2007. "Clusters or networks of economies? A macroeconomy study through Gross Domestic Product," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 16-21.
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