Title of article :
Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series
Author/Authors :
Cheoljun Eom، نويسنده , , Gabjin Oh، نويسنده , , Woo-Sung Jung، نويسنده , , Hawoong Jeong، نويسنده , , Seunghwan Kim، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Pages :
7
From page :
900
To page :
906
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.
Journal title :
Physica A Statistical Mechanics and its Applications
Serial Year :
2009
Journal title :
Physica A Statistical Mechanics and its Applications
Record number :
872983
Link To Document :
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