The effect of a market factor on information flow between stocks using the minimal spanning tree

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 8, 2010, Pages 1643-1652

  Eom, Cheoljun ^a,b   Kwon, Okyu ^c   Jung, Woo Sung ^d   Kim, Seunghwan ^d,e  

^a Pusan National University   (South Korea)

^b UNIVERSITY OF CINCINNATI   (United States)

^c NORTHWESTERN UNIVERSITY   (United States)

^d Pohang University of Science and Technology (POSTECH)   (South Korea)

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

Author keywords

Econophysics; Information flow; Minimal spanning tree

Indexed keywords

PHYSICS;

ECONOPHYSICSS; INFORMATION FLOWS; INFORMATION VALUE; MARKET CRISIS; MARKET FACTORS; MINIMAL SPANNING TREE; TIME VARYING;

COMMERCE;

EID: 74849110185     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.12.044     Document Type: Article

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