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Topological properties of stock market networks: The case of Brazil

  • Tabak, Benjamin M.
  • Serra, Thiago R.
  • Cajueiro, Daniel O.

This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to cluster by sector. We employ a dynamic approach using complex network measures and find that the relative importance of different sectors within the network varies. The financial, energy and material sectors are the most important within the network.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437110002992
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 389 (2010)
Issue (Month): 16 ()
Pages: 3240-3249

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Handle: RePEc:eee:phsmap:v:389:y:2010:i:16:p:3240-3249
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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