Advanced Search
MyIDEAS: Login to save this paper or follow this series

Systematic analysis of group identification in stock markets

Contents:

Author Info

  • Dong-Hee Kim
  • Hawoong Jeong
Registered author(s):

    Abstract

    We propose improved methods to identify stock groups using the correlation matrix of stock price changes. By filtering out the marketwide effect and the random noise, we construct the correlation matrix of stock groups in which nontrivial high correlations between stocks are found. Using the filtered correlation matrix, we successfully identify the multiple stock groups without any extra knowledge of the stocks by the optimization of the matrix representation and the percolation approach to the correlation-based network of stocks. These methods drastically reduce the ambiguities while finding stock groups using the eigenvectors of the correlation matrix.

    Download Info

    If 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.
    File URL: http://arxiv.org/pdf/physics/0503076
    File Function: Latest version
    Download Restriction: no

    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number physics/0503076.

    as in new window
    Length:
    Date of creation: Mar 2005
    Date of revision: Oct 2005
    Publication status: Published in Phys. Rev. E. 72, 046133 (2005)
    Handle: RePEc:arx:papers:physics/0503076

    Contact details of provider:
    Web page: http://arxiv.org/

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Grigory Bautin & Valery Kalyagin & Alexander Koldanov & Petr Koldanov & Panos Pardalos, 2013. "Simple measure of similarity for the market graph construction," Computational Management Science, Springer, vol. 10(2), pages 105-124, June.
    2. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(21), pages 3842-3854.
    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. Lee, Sangwook & Kim, Min Jae & Kim, Soo Yong, 2011. "Interest rates factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(13), pages 2531-2548.
    5. Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(24), pages 6442-6457.
    6. Hao Meng & Wen-Jie Xie & Zhi-Qiang Jiang & Boris Podobnik & Wei-Xing Zhou & H. Eugene Stanley, 2013. "Systemic risk and spatiotemporal dynamics of the US housing market," Papers 1306.2831, arXiv.org.
    7. Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 389(14), pages 2739-2743.
    8. Cheoljun Eom & Woo-Sung Jung & Taisei Kaizoji & Seunghwan Kim, 2008. "Effect of changing data size on eigenvalues in the Korean and Japanese stock markets," Papers 0811.4021, arXiv.org, revised Jun 2009.
    9. Hiroshi Iyetomi & Yasuhiro Nakayama & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma, 2009. "Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations," Papers 0912.1985, arXiv.org, revised Nov 2010.
    10. Jarosław Kwapień & Sylwia Gworek & Stanisław Drożdż & Andrzej Górski, 2009. "Analysis of a network structure of the foreign currency exchange market," Journal of Economic Interaction and Coordination, Springer, vol. 4(1), pages 55-72, June.
    11. 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, Elsevier, vol. 391(16), pages 4136-4146.
    12. Lim, Kyuseong & Kim, Min Jae & Kim, Sehyun & Kim, Soo Yong, 2014. "Statistical properties of the stock and credit market: RMT and network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 407(C), pages 66-75.
    13. Miśkiewicz, Janusz & Ausloos, Marcel, 2008. "Correlation measure to detect time series distances, whence economy globalization," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 387(26), pages 6584-6594.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:physics/0503076. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

    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.