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Comparando distancias en los mercados financieros mundiales

Author

Listed:
  • Linda Margarita Medina Herrera

    () (Tecnológico de Monterrey)

  • Ernesto Pacheco Velázquez

    () (Tecnológico de Monterrey)

Abstract

This paper analyzes the correlation of the world main financial indexes. We compare the structure of the minimum spanning tree constructed from the correlation matrix (Euclidean distance) with minimum spanning trees obtained using three Non-Euclidean distances. It is found that indexes in Western Europe, Asia and North America form large clusters, while the indexes of South America, Eastern Europe and Africa are less strong blocks. It is also found that the distances Chi-City Block and City Block best separate clusters and point exactly to the central vertex of the tree. The above distances are preferable to Pearson correlation coefficients to analyze the correlation structure of the trees

Suggested Citation

  • Linda Margarita Medina Herrera & Ernesto Pacheco Velázquez, 2011. "Comparando distancias en los mercados financieros mundiales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 88-98.
  • Handle: RePEc:ega:rafega:201111
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2011V5A11Medina-Pacheco.pdf
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    References listed on IDEAS

    as
    1. Çukur, Sadik & Eryiğit, Mehmet & Eryiğit, Resul, 2007. "Cross correlations in an emerging market financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 555-564.
    2. Giovanni Bonanno & Nicolas Vandewalle & Rosario N. Mantegna, 2000. "Taxonomy of Stock Market Indices," Papers cond-mat/0001268, arXiv.org, revised Aug 2000.
    3. Eom, Cheoljun & Oh, Gabjin & Jung, Woo-Sung & Jeong, Hawoong & Kim, Seunghwan, 2009. "Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 900-906.
    4. Barthélemy, Marc & Barrat, Alain & Pastor-Satorras, Romualdo & Vespignani, Alessandro, 2005. "Characterization and modeling of weighted networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(1), pages 34-43.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    índices Financieros. Correlación. Distancias. Árboles de expansión mínima;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation

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