Dynamics and structure of the 30 largest North American companies

Computational Economics

Volumn 35, Issue 1, 2010, Pages 85-99

  Brida, Juan Gabriel ^a   Risso, Wiston Adrián ^b  

^a FREE UNIVERSITY OF BOLZANO   (Italy)

^b UNIVERSITY OF SIENA   (Italy)

Author keywords

Cluster analysis; Financial asset returns; Symbolic time series analysis

Indexed keywords

EID: 72449206568     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1007/s10614-009-9187-1     Document Type: Article

References (40)

1. Ahrne G. (1994) Social organizations. Interaction inside, outside and between organizations. Sage Publications, London
2. P. Y. Boillat N. de Skowronski N. Tuchschmid 2002 Cluster analysis: Application to sector indices and empirical validation Financial Markets and Portfolio Management 16 4 467 486 10.1007/s11408-002-0403-4
3. E. M. Bollt T. Stanford Y. C. Lai Y.C. Zyczkowski 2001 What symbolic dynamics do we get with a misplaced partition? On the validity of threshold crossings analysis of chaotic time-series Physica D 154 259 286 10.1016/S0167-2789(01)00242-1
4. G. Bonanno F. Lillo R. N. Mantegna 2001 High-frequency cross-correlation in a set of stocks Quantitative Finance 1 96 104 10.1080/713665554
5. G. Bonanno G. Caldarelli F. Lillo R. N. Mantegna 2003 Topology of correlation based minimal spanning trees in real and model markets Physical Review E 68 046130 10.1103/PhysRevE.68.046130
6. G. Bonanno G. Calderelli F. Lillo S. Micciché N. Vandewalle R. N. Mantegna 2004 Networks of equities in financial markets The European Physical Journal B 38 363 371 10.1140/epjb/e2004-00129-6
7. J.G. Brida L. F. Punzo 2003 Symbolic time series analysis and dynamic regimes Structural Change and Economic Dynamics 14 159 183 10.1016/S0954- 349X(02)00050-4 (Pubitemid 36922663)
8. J. G. Brida N. Garrido 2006 Exploring two inflationary regimes in Latin-American economies: A binary time series analysis International Journal of Modern Physics C 17 1 343 356 10.1142/S0129183106008509
9. J. G. Brida D. Matesanz Gómez W. A. Risso 2009 Symbolic hierarchical analysis in currency markets. An application to contagion in currency crises Expert Systems with Applications 36 7721 7728 10.1016/j.eswa.2008.09.038
10. R. Burt D. Carlton 1989 Another look at the network boundaries of American markets The American Journal of Sociology 95 3 723 753 10.1086/229331
11. C. S. Daw C. E. A. Finney E. R. Tracy 2003 A review of symbolic analysis of experimental data Review of Scientific Instruments 74 916 930 10.1063/1.1531823
12. E. J. Elton M. J. Gruber 1997 Modern portfolio theory, 1950 to date Journal of Banking and Finance 21 1743 1759 10.1016/S0378-4266(97)00048-4
13. E. Feser S. Sweeny 2000 A test for the coincident economic and spatial clustering of business enterprises Journal of Geographical Systems 2 349 373 10.1007/PL00011462
14. Forbes K. J., Rigobon R. (2001) Measuring contagion: Conceptual and empirical issues. In: Claessens S., Forbes K. J. (eds) International financial contagion. Kluwer Academic Press, Boston, MA
15. K. J. Forbes R. Rigobon 2002 No contagion, only interdependence: Measuring stock market co-movements Journal of Finance 57 5 2223 2261 10.1111/0022-1082.00494
16. V. V. Gafiychuk B. Y. Daysko J. Izmaylova 2004 Analysis of data clusters obtained by self-organizing methods Physica A 341 547 557 10.1016/j.physa.2004. 04.115
17. J. C. Gower 1966 Some distance properties of latent root and vector methods used in multivariate analysis Biometrika 53 3-4 325 338
18. H. Hakansson D. Ford 2002 How should companies interact in business networks ? Journal of Business Research 55 133 139 10.1016/S0148-2963(00)00148-X (Pubitemid 39631283)
19. A. Halinen J. Tornroos 1998 The role of embeddedness in the evolution of business networks Scandinavian Journal of Management 14 3 187 205 10.1016/S0956-5221(98)80009-2
20. A. Halinen J. Tornroos 2005 Using case method in the study of contemporary business networks Journal of Business Research 58 1285 1297 10.1016/j.jbusres.2004.02.001
21. J. Henderson P. Dicken N. Hess H. Yeung 2002 Global production networks and the analysis of economic development Review of International Political Economy 9 436 464 10.1080/09692290210150842
22. Y. Hirata K. Judd D. Kilaminster 2004 Estimating a generating partition from observed time series: Symbolic shadowing Physical Review E 70 016215 10.1103/PhysRevE.70.016215
23. Holton G.A. (2003) Value-at-risk: Theory and practise. Academic Press, San Diego
24. Jorion P. (1997) Value at risk: The new benchmark for controlling derivatives risk. McGraw-Hill, New York
25. K. Kaski J. P. Onnela A. Chakraborti 2003 Dynamics of market correlations: Taxonomy and portfolio analysis Physical Review E 68 056110 10.1103/PhysRevE.68.056110
26. K. Keller K. Wittfeld 2004 Distances of time series components by means of symbolic dynamics International Journal of Bifurcation and Chaos 14 2 693 703 10.1142/S0218127404009387 (Pubitemid 40242212)
27. Kurths J., Schwarz U., Witt A., Krampe R. T., Abel M. (1996) Measures of complexity in signal analysis. In: Kratz R. A. (eds) Chaotic, fractal, and nonlinear signal processing. AIP Press Woodbury, NewYork, pp 33-54
28. R. N. Mantegna 1999 Hierarchical structure in financial markets The European Physical Journal B 11 193 197 10.1007/s100510050929
29. Mantegna R. N., Stanley H. E. (2000) An introduction to econophysics: Correlations and complexity in finance. Cambridge University Press, UK
30. T. Mizuno H. Takayasu M. Takayasu 2006 Correlation networks among currencies Physica A 364 336 342 10.1016/j.physa.2005.08.079
31. L. Molgedey W. Ebeling 2000 Local order, entropy and predictability of financial time series The European Physical Journal B 15 733 737 10.1007/s100510051178
32. J. P Onnela A. Chakraborti K. Kaski J. Kertesz A. Kanto 2003 Dynamics of market correlations: Taxonomy and portfolio analysis Physical Review E 68 056110
33. G. Ortega D. Matesanz 2005 Cross-country hierarchical structure and currency crises International Journal of Modern Physics C 17 03 333 341 10.1142/S012918310600856X
34. C. Piccardi 2004 On the control of chaotic systems via symbolic time series analysis Chaos 14 4 1026 1034 10.1063/1.1796071 (Pubitemid 40382387)
35. R. Ramal G. Toulouse M. A. Virasoro 1986 Ultrametricity for physicists Review of Modern Physics 58 3 765 788 10.1103/RevModPhys.58.765
36. W. Souma H. Aoyama Y. Fujiwara Y. Ikeda H. Iyetomi T. Kaizoji 2006 Correlation in business networks Physica A 370 151 155 10.1016/j.physa.2006.04. 040 (Pubitemid 44247371)
37. X. Z. Tang E. R. Tracy 1997 Data compression and information retrieval via symbolization Chaos 8:3 688 696
38. X. Z. Tang E. R. Tracy R. Brown 1997 Symbol statistics and spatio-temporal systems Physica D 102 253 261 10.1016/S0167-2789(96)00201-1
39. X. Z. Tang E. R. Tracy A. D. Boozer A. deBrown R. Brown 1994 Reconstruction of chaotic signal using symbolic data Physical Letters A 190 393 398 10.1016/0375-9601(94)90721-8
40. X. Z. Tang E. R. Tracy A. D. Boozer A. deBrauw R. Brown 1995 Symbol sequence statistics in noisy chaotic signal reconstruction Physical Review E 51:5 3871 3889 10.1103/PhysRevE.51.3871