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A robust filter in stock networks analysis

Djauhari, Maman Abdurachman (2012) A robust filter in stock networks analysis. Physica A: Statistical Mechanics and its Applications, 391 . pp. 5049-5057. ISSN 0378-4271

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Official URL: https://dx.doi.org/10.1016/j.physa.2012.05.060


We show that the use of a minimal spanning tree (MST) to filter important information in a complex system is not robust except when the system contains a unique MST. In this paper we propose to use the forest of all MSTs as a robust filter. According to this filter, centrality measures are also robust. For that purpose an algorithm, which can also be used to detect the uniqueness of an MST, will be provided. A simple hypothetical example will clarify the construction of the proposed filter and a real problem in filtering the information contained in NYSE 100 stocks will illustrate its advantages compared to the MST-based filter

Item Type:Article
Uncontrolled Keywords:Physics
Subjects:Q Science > QC Physics
ID Code:46529
Deposited By: Haliza Zainal
Deposited On:22 Jun 2015 05:56
Last Modified:12 Sep 2017 07:41

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