Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series

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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. (C) 2008 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2009-03
Language
English
Article Type
Article
Keywords

CROSS-CORRELATIONS; PORTFOLIO OPTIMIZATION; MARKET; STABILITY

Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.388, no.6, pp.900 - 906

ISSN
0378-4371
DOI
10.1016/j.physa.2008.12.006
URI
http://hdl.handle.net/10203/96663
Appears in Collection
PH-Journal Papers(저널논문)
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