Universiti Teknologi Malaysia Institutional Repository

Multidimensional stock network analysis: an escoufier's RV coefficient approach

Lee, G. S. and Djauhari, M. A. (2013) Multidimensional stock network analysis: an escoufier's RV coefficient approach. In: AIP Conference Proceedings.

Full text not available from this repository.

Official URL: http://dx.doi.org/10.1063/1.4823975


The current practice of stocks network analysis is based on the assumption that the time series of closed stock price could represent the behaviour of the each stock. This assumption leads to consider minimal spanning tree (MST) and sub-dominant ultrametric (SDU) as an indispensible tool to filter the economic information contained in the network. Recently, there is an attempt where researchers represent stock not only as a univariate time series of closed price but as a bivariate time series of closed price and volume. In this case, they developed the so-called multidimensional MST to filter the important economic information. However, in this paper, we show that their approach is only applicable for that bivariate time series only. This leads us to introduce a new methodology to construct MST where each stock is represented by a multivariate time series. An example of Malaysian stock exchange will be presented and discussed to illustrate the advantages of the method.

Item Type:Conference or Workshop Item (Paper)
Uncontrolled Keywords:network analysis
Subjects:Q Science
ID Code:51186
Deposited By: Haliza Zainal
Deposited On:27 Jan 2016 09:53
Last Modified:17 Sep 2017 16:15

Repository Staff Only: item control page