کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977910 | 933220 | 2008 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multidimensional minimal spanning tree: The Dow Jones case
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper introduces a new methodology in order to construct Minimal Spanning Trees (MST) and Hierarchical Trees (HT) using the information provided by more than one variable. In fact, the Symbolic Time Series Analysis (STSA) approach is applied to the Dow Jones companies using information not only from asset returns but also for trading volume. The US stock market structure is obtained, showing eight clusters of companies and General Electric as a central node in the tree. We use different partitions showing that the results do not depend on the particular partition. In addition, we apply Monte Carlo simulations suggesting that the tree is not the result of random connections.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 21, 1 September 2008, Pages 5205–5210
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 21, 1 September 2008, Pages 5205–5210
نویسندگان
Juan Gabriel Brida, Wiston Adrián Risso,