Dynamical behavior of price forecasting in structures of group correlations

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We investigate the prediction of the future prices from the structures and the networks of the companies in special financial groups. After the financial group network has been constructed from the value of the high cross-correlation, each company in a group is simulated and analyzed how it buys or sells stock is anaylzed and how it makes rational investments is forecasted. In the shortmemory behavior rather than the long-memory behavior, each company among a group can make a rational investment decision by using a stochastic evolution rule in the financial network. In particular, we simulate and analyze the investment situation in connection with the empirical data and the simulated result.
Publisher
KOREAN PHYSICAL SOC
Issue Date
2015-07
Language
English
Article Type
Article
Keywords

FINANCIAL TIME-SERIES; MINIMAL SPANNING TREE; RANDOM-MATRIX THEORY; CROSS-CORRELATIONS; MARKETS; MODEL; NETWORKS; EIGENVALUES; UNIVERSAL; MINORITY

Citation

JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.67, no.2, pp.395 - 399

ISSN
0374-4884
DOI
10.3938/jkps.67.395
URI
http://hdl.handle.net/10203/203427
Appears in Collection
PH-Journal Papers(저널논문)
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