Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978952 | Physica A: Statistical Mechanics and its Applications | 2010 | 10 Pages |
Abstract
This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to cluster by sector. We employ a dynamic approach using complex network measures and find that the relative importance of different sectors within the network varies. The financial, energy and material sectors are the most important within the network.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Benjamin M. Tabak, Thiago R. Serra, Daniel O. Cajueiro,