相关论文: The effect of a market factor on information flow …
We investigate a factor that can affect the number of links of a specific stock in a network between stocks created by the minimal spanning tree (MST) method, by using individual stock data listed on the S&P500 and KOSPI. Among the common…
This work employs some techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The…
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…
Based on a recently proposed $q$-dependent detrended cross-correlation coefficient $\rho_q$, we generalize the concept of minimum spanning tree (MST) by introducing a family of $q$-dependent minimum spanning trees ($q$MST) that are…
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…
A complete understanding of real networks requires us to understand the consequences of the uneven interaction strengths between a system's components. Here we use the minimum spanning tree (MST) to explore the effect of weight assignment…
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pacific region the biggest is receives the…
The construction of minimum spanning trees (MSTs) from correlation matrices is an often used method to study relationships in the financial markets. However most of the work on this topic tends to use the Pearson correlation coefficient,…
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and identify important sectors and information flow paths. This paper…
In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
Recent years have witnessed a surge of biological interest in the minimum spanning tree (MST) problem for its relevance to automatic model construction using the distances between data points. Despite the increasing use of MST algorithms…
In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in…
We describe two different bootstrap methods applied to the detection of a minimum spanning tree obtained from a set of multivariate variables. We show that two different bootstrap procedures provide partly distinct information that can be…
We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…
The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…
We study correlations of a set of stocks selected from both the New York and London stock exchanges. Results are displayed using both Random Matrix Theory approach and the graphical visualisation of the Minimal Spanning Tree. For the set of…
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained…