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A Map of the Brazilian Stock Market

Statistical Finance 2014-08-11 v2
Authors: Leonidas Sandoval Junior
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Abstract

We use the correlation matrix of stocks returns in order to create maps of the S\~ao Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analised using techniques of network theory.

Keywords

stock market correlation matrix minimum spanning tree asset graph network theory brazilian stock exchange

Cite

@article{arxiv.1107.4146,
  title  = {A Map of the Brazilian Stock Market},
  author = {Leonidas Sandoval Junior},
  journal= {arXiv preprint arXiv:1107.4146},
  year   = {2014}
}

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