Intraday volatility and network topological properties in the Korean stock market

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 4, 2012, Pages 1354-1360

  Lee, Junghoon ^a   Youn, Janghyuk ^a   Chang, Woojin ^a  

^a Seoul National University   (South Korea)

Author keywords

High frequency data; Minimum spanning tree; Topological property; Volatility

Indexed keywords

CLUSTERING ALGORITHMS; FINANCIAL MARKETS; TOPOLOGY; TREES (MATHEMATICS);

HIGH FREQUENCY DATA; HIGH FREQUENCY HF; KOREAN STOCK MARKET; MARKET VOLATILITY; MINIMUM SPANNING TREES; NETWORK PROPERTIES; TOPOLOGICAL PROPERTIES; VOLATILITY;

COMMERCE;

EID: 84655175002     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.09.016     Document Type: Article

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