کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978583 933293 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series
چکیده انگلیسی

We investigated the topological properties of stock networks constructed by a minimal spanning tree. We compared the original stock network with the estimated network; the original network is obtained by the actual stock returns, while the estimated network is the correlation matrix created by random matrix theory. We found that the consistency between the two networks increases as more eigenvalues are considered. In addition, we suggested that the largest eigenvalue has a significant influence on the formation of stock networks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 6, 15 March 2009, Pages 900–906
نویسندگان
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