Correlation Network Analysis in the Stock Exchange of Thailand (SET)

被引：2

作者：

Thitaweera, Nuttapol ^{[1
]}

Sinthupinyo, Sukree ^{[1
]}

机构：

[1] Chulalongkorn Univ, Dept Comp Engn, Fac Engn, Bangkok, Thailand

来源：

PROCEEDINGS OF 2021 6TH INTERNATIONAL CONFERENCE ON MACHINE LEARNING TECHNOLOGIES (ICMLT 2021) | 2021年

关键词：

Stock market; Time series decomposition; Dynamic time warping; Financial Network; Centrality; Community detection; HIERARCHICAL STRUCTURE; CENTRALITY;

D O I：

10.1145/3468891.3468917

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper presents stock relationships of the top hundred stocks represented by market capitalization in Thailand's Stock Exchange. We collected asset returns of stock prices between July 2018 and June 2020 to construct a network. We then decomposed the collected data into time series components. Next, we summarized the time series decomposition results for applying a dynamic time warping (DTW) technique to measure each stock's similarity. We establish the connections between nodes using the DTW results. We implemented graph theory and network analysis for analyzing a centrality value to show the network's most important stocks. We then present a stock's community and a graph of the correlation between each stock.

引用

页码：170 / 176

页数：7

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