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Correlation network analysis for multi-dimensional data in stocks market

Kazemilari, Mansooreh and Djauhari, Maman Abdurachman (2015) Correlation network analysis for multi-dimensional data in stocks market. Physica A: Statistical Mechanics And Its Applications, 429 . pp. 62-75. ISSN 0378-3812

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Official URL: http://dx.doi.org/10.1016/j.physa.2015.02.052

Abstract

This paper shows how the concept of vector correlation can appropriately measure the similarity among multivariate time series in stocks network. The motivation of this paper is (i) to apply the RV coefficient to define the network among stocks where each of them is represented by a multivariate time series; (ii) to analyze that network in terms of topological structure of the stocks of all minimum spanning trees, and (iii) to compare the network topology between univariate correlation based on r and multivariate correlation network based on RV coefficient.

Item Type:Article
Uncontrolled Keywords:escoffier's operator, multivariate association, stocks network analysis, vector correlation
Subjects:A General Works
ID Code:58173
Deposited By: Haliza Zainal
Deposited On:04 Dec 2016 12:07
Last Modified:02 May 2017 08:28

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