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

被引：61

作者：

Eom, Cheoljun ^{[1
]}

Oh, Gabjin ^{[2
]}

Jung, Woo-Sung ^{[3
,4
,5
,6
]}

Jeong, Hawoong ^{[7
]}

Kim, Seunghwan ^{[5
,6
,8
]}

机构：

[1] Pusan Natl Univ, Div Business Adm, Pusan 609735, South Korea

[2] Pohang Univ Sci & Technol, Pohang Math Inst, Pohang 790784, South Korea

[3] Boston Univ, Ctr Polymer Studies, Boston, MA 02115 USA

[4] Boston Univ, Dept Phys, Boston, MA 02115 USA

[5] Pohang Univ Sci & Technol, Dept Phys, Pohang 790784, South Korea

[6] Pohang Univ Sci & Technol, Basic Sci Res Inst, Pohang 790784, South Korea

[7] Korea Adv Inst Sci & Technol, Dept Phys, Taejon 305701, South Korea

[8] Asia Pacific Ctr Theoret Phys, Pohang 790784, South Korea

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2009年 / 388卷 / 06期

关键词：

Random matrix theory; Minimal spanning tree; Stock market; CROSS-CORRELATIONS; PORTFOLIO; STABILITY;

D O I：

10.1016/j.physa.2008.12.006

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：900 / 906

页数：7

共 34 条

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