Deterministic factors of stock networks based on cross-correlation in financial market

Physica A: Statistical Mechanics and its Applications

Volumn 383, Issue 1 SPEC. ISS., 2007, Pages 139-146

  Eom, Cheoljun ^a   Oh, Gabjin ^b   Kim, Seunghwan ^b  

^a Pusan National University   (South Korea)

^b Asia Pacific Center for Theoretical Physics (APCTP)   (South Korea)

Author keywords

Econophysics; Minimal spanning tree; Multi factor model; Stock network

Indexed keywords

CORRELATION METHODS; ECONOMIC ANALYSIS; FINANCE; MATHEMATICAL MODELS;

ECONOPHYSICS; MINIMAL SPANNING TREE; MULTI-FACTOR MODEL; STOCK NETWORK;

MARKETING;

EID: 34347336600     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.04.102     Document Type: Article

References (28)

1. Mantegna R.N. Eur. Phys. J. B 11 (1999) 193
2. Ross S.A. J. Econ. Theory 13 (1976) 343
3. Chen N., Roll R., and Ross S.A. J. Business 59 (1986) 383
4. King B.F. J. Business 39 1 (1966) 139
5. Farrell Jr. J.L. J. Business 47 2 (1974) 186
6. Martin J.D., and Klemkosky R.C. J. Business 49 3 (1976) 339
7. Bonanno G., Lillo F., and Mantegna R.N. Quant. Finance 1 (2001) 96
8. Micciche S., Bonanno G., Lillo F., and Mantegna R.N. Physica A 324 (2003) 66
9. Bonanno G., Caldarelli G., Lillo F., Micciche S., Vandewalle N., and Mantegna R.N. Eur. Phys. J. B 38 (2004) 363
10. Coelho R., Hutzler S., Repetowicz P., and Richmond P. Physica A 373 (2007) 615
11. Vandewalle N., Brisbois F., and Tordoir X. Quant. Finance 1 (2001) 372
12. Kim H.J., Kim I.M., Lee Y., and Kahng B. J. Korean Phys. Soc. 40 6 (2002) 1105
13. C. Eom, G. Oh, S. Kim, Preprint available at arxiv.org, physics/0612068, 2006.
14. Bonanno G., Caldarelli G., Lillo F., and Mantegna R.N. Phys. Rev. E 68 (2003) 046130
15. Sharpe W.F. J. Finance 19 (1964) 425
16. Lintner J. Rev. Econ. Stat. 47 (1965) 13
17. Kim D., and Jeong H. Phys. Rev. E 72 (2005) 046133
18. Ma W.J., Hu C.K., and Amritkar R.E. Phys. Rev. E 70 (2004) 026101
19. Lee U., Kim S., and Jeong K.-Y. Phys. Rev. E 73 (2006) 041920
20. West D.B. Introduction to Graph Theory (1996), Prentice-Hall, Englewood Cliffs, NJ
21. Kruskal J.B. Proc. Am. Math. Soc. 7 (1956) 48
22. Prim R.C. Bell System Techn. J. 36 (1957) 1389
23. Everitt B.S. Cluster Analysis (1974), Heinemann Educational Books, London
24. Gower J.C., and Ross G.J.S. Appl. Stat. 18 1 (1969) 54
25. Harman H.H. Modern Factor Analysis (1976), The University of Chicago Press, Chicago
26. Gujarati D.N. Basic Economatrics (1988), McGraw-Hill International Editions, New York
27. Kaiser H.F. Psychometrika 23 (1958) 187
28. Cartell L.S., and Harman A.J. Multivariate Behav. Res. 1 (1966) 245