Computational study of the US stock market evolution: a rank correlation-based network model

Oleg Shirokikh (), Grigory Pastukhov (), Vladimir Boginski () and Sergiy Butenko ()

Computational Management Science, 2013, vol. 10, issue 2, 103 pages

Abstract: This paper presents a computational study of global characteristics of the US stock market using a network-based model referred to as the market graph. The market graph reflects similarity patterns between stock return fluctuations via linking pairs of stocks that exhibit “coordinated” behavior over a specified period of time. We utilized Spearman rank correlation as a measure of similarity between stocks and considered the evolution of the market graph over the recent decade between 2001–2011. The observed market graph characteristics reveal interesting trends in the stock market over time, as well as allow one to use this model to identify cohesive clusters of stocks in the market. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Market graph; Spearman rank correlation; Outliers; Degree distribution; Cohesive clusters; $$k$$ -Cores (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s10287-012-0160-4

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