Article ID Journal Published Year Pages File Type
978583 Physica A: Statistical Mechanics and its Applications 2009 7 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
, , , , ,