|
|||||
|
|
Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series |
|
| Authors: | Cheoljun Eom Gabjin Oh Hawoong Jeong |
| Affiliation: | a Division of Business Administration, Pusan National University, Busan 609-735, Republic of Korea b Pohang Mathematics Institute, Pohang University of Science and Technology, Pohang 790-784, Republic of Korea c Center for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA d Department of Physics and Basic Science Research Institute, Pohang University of Science and Technology, Pohang 790-784, Republic of Korea e Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Republic of Korea f Asia Pacific Center for Theoretical Physics, Pohang 790-784, Republic of Korea |
| Abstract: | 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. |
| Keywords: | 89 65 Gh 89 75 Fb 89 75 Hc |
| 本文献已被 ScienceDirect 等数据库收录！ | |
