A robust filter in stock networks analysis

Maman A. Djauhari

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 20, 5049-5057

Abstract: 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.

Keywords: Fuzzy relation; Minimal spanning tree; Min–max transitive closure; Network topology; Sub-dominant ultrametric (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:20:p:5049-5057

DOI: 10.1016/j.physa.2012.05.060

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