کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7383085 1480183 2011 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Network analysis of a financial market based on genuine correlation and threshold method
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Network analysis of a financial market based on genuine correlation and threshold method
چکیده انگلیسی
► For better risk management, we clean the correlation matrix by removing the market mode and construct stock network based on residuals. ► We studied the topological structure of TSE network based on the threshold method and found only one major giant component. ► Also, by increasing the threshold the systemic risk decreases.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 390, Issues 21–22, 15 October 2011, Pages 3835-3841
نویسندگان
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