Hierarchical structure of the German stock market

被引：64

作者：

Brida, J. Gabriel ^{[2
]}

Risso, W. Adrian ^{[1
]}

机构：

[1] Univ Siena, Dept Econ, I-53100 Siena, Italy

[2] Free Univ Bolzano, Sch Econ & Management, Bolzano, Italy

来源：

EXPERT SYSTEMS WITH APPLICATIONS | 2010年 / 37卷 / 05期

关键词：

Symbolic time series analysis; Cluster analysis; Financial asset returns; NETWORKS;

D O I：

10.1016/j.eswa.2009.11.034

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Enormous quantity of information affects stock returns every day producing their almost random behavior. Nonetheless, some information can be recovered by using symbolic methods and constructing minimal spanning trees (MST) and hierarchical trees (HT). The introduced method is applied to the main German companies that appear in the DAX30 index. A structural topology is constructed for this stock market and compared with the method introduced by Mantegna. Conducting bootstrap simulations, we detect a structural break in the evolution of the global distance. (C) 2009 Elsevier Ltd. All rights reserved.

引用

页码：3846 / 3852

页数：7

共 20 条

[1] What symbolic dynamics do we get with a misplaced partition? On the validity of threshold crossings analysis of chaotic time-series [J].