A network perspective of the stock market

Journal of Empirical Finance

Volumn 17, Issue 4, 2010, Pages 659-667

  Tse, Chi K ^a   Liu, Jing ^a,b   Lau, Francis C M ^a  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b WUHAN UNIVERSITY   (China)

Author keywords

Complex network; Degree distribution; Stock indexes; Stock market

Indexed keywords

EID: 77954457234     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2010.04.008     Document Type: Article

References (18)

1. Barabasi A.-L., Albert R. Emergence of scaling in random networks. Science 1999, 286:509-512.
2. Bonanno G., Lillo F., Mantegna R.N. High-frequency cross-correlation in a set of stocks. Quantit. Finan. 2001, 1:96-104.
3. Bonanno G., Caldarelli G., Lillo F., Micciché S., Vandewalle N., Mantegna R.N. Networks of equities in financial markets. Euro. Phys. J. B 2004, 38:363-371.
4. Bonnanno G., Caldarelli G., Lillo F., Mantegna R.N. Topology of correlation-based minimal spanning trees in real and model markets. Phys. Rev. E 2003, 68:046103.
5. Campbell R.A.J., Forbes C.S., Koedijk K.G., Kofman P. Increasing correlations or just fat tails?. J. Empirical Finance 2008, 15:287-309.
6. Cohen J., Cohen P., West S.G., Aiken L.S. Applied Multiple Regression/Correlation Analysis for the Behavioral Sciences 2003, Lawrence Erlbaum Associates, Hillsdale, NJ. 3rd ed.
7. Csanyi G., Szendroi B. Structure of a large social network. Physical Review E 2004, 69:036131-1-5.
8. Hollander M., Wolfe D.A. Nonparametric Statistical Methods 1973, Wiley, New York.
9. Longin F., Solnik B. Extreme correlation of international equity markets. J. Finance 2001, 56(2):649-676.
10. Mantegna R.N. Hierarchical structure in financial markets. Euro. Phys. J. B 1999, 11:193-197.
11. Newman M.E.J. Scientific collaboration networks I: Network construction and fundamental results. Phys. Rev. E 2001, 64:016131-1-8.
12. Onnela J.P., Chakraborti A., Kaski K. Dynamics of market correlations: taxonomy and portfolio analysis. Phys. Rev. E 2003, 68:056110.
13. Onnela J.P., Kaski K., Kertesz J. Clustering and information in correlation based financial networks. Euro. Phys. J. B 2004, 38:353-362.
14. Ravid G., Rafaeli S. Asynchronous discussion groups as small world and scale free networks. Peer-Reviewed J. Internet 2004, 9(9). 2004.
15. Strogatz S.H. Exploring complex networks. Nature 2001, 410:268-276.
16. Tumminello M., Aste T., Di Matteo T., Mantegna R.N. A tool for filtering information in complex systems. Proc. Natl. Acad. Sci. USA 2005, 102:10421-10426.
17. Vandewalle N., Brisbois F., Tordoir X. Self-organized critical topology of stock markets. Quantit. Finan. 2001, 1:372-375.
18. Zheng X., Lau F.C.M., Tse C.K. Study of LPDC codes built from scale-free networks. Proc. Int. Symp. Nonlinear Theory and Its Applications, Bologna, Italy 2006, 563-566.