Djauhari, M. A. and Lee, G. S. (2016) Dynamics of NYSE correlation structure during global crisis in 2008: evidence from complex network analysis. In: International Conference on Advanced Computer Science and Information Systems, ICACSIS 2015, 10-11 Oct 2015, Depok, Indonesia.
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Abstract
Stocks market is a complex system. To understand its behavior, random matrix theory and/or graph theory are/is usually used. In this paper, the latter is used to analyze the dynamics of correlations network at New York Stock Exchange (NYSE) during global crisis in 2008. For that purpose, first, correlations network stability is tested. Second, complex network representation is provided to study the correlations network dynamics and their minimal spanning tree (MST) is constructed to study the evolution of network topological properties. Some changes of these properties in terms of stock's degree and graph diameter will be highlighted to demonstrate the advantages of complex network approach.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | correlations network, Degree distribution, minimal spanning tree, network topology |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Science |
| ID Code: | 73375 |
| Deposited By: | Mohd Zulaihi Zainudin |
| Deposited On: | 21 Nov 2017 08:17 |
| Last Modified: | 21 Nov 2017 08:17 |
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