DocumentCode :
3751994
Title :
Dynamics of NYSE correlation structure during global crisis in 2008: Evidence from complex network analysis
Author :
Maman Abdurachman Djauhari;Gan Siew Lee
Author_Institution :
Institute for Mathematical Research (INSPEM), Department of Mathematical Sciences, Malaysia
fYear :
2015
Firstpage :
7
Lastpage :
11
Abstract :
Stocks market is a complex system. To understand its behavior, random matrix theory and/or graph theory are/is usually used. In this paper, the latter is used to analyze the dynamics of correlations network at New York Stock Exchange (NYSE) during global crisis in 2008. For that purpose, first, correlations network stability is tested. Second, complex network representation is provided to study the correlations network dynamics and their minimal spanning tree (MST) is constructed to study the evolution of network topological properties. Some changes of these properties in terms of stock´s degree and graph diameter will be highlighted to demonstrate the advantages of complex network approach.
Keywords :
"Correlation","Stock markets","Complex networks","Information filters","Gallium nitride"
Publisher :
ieee
Conference_Titel :
Advanced Computer Science and Information Systems (ICACSIS), 2015 International Conference on
Type :
conf
DOI :
10.1109/ICACSIS.2015.7415196
Filename :
7415196
Link To Document :
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