NETWORK-BASED TECHNIQUES IN THE ANALYSIS OF THE STOCK MARKET

V. Boginski, S. Butenko and P. M. Pardalos
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V. Boginski: Department of Industrial and Systems Engineering, University of Florida, 303 Weil Hall, Gainesville, FL 32611, USA
S. Butenko: Department of Industrial Engineering, Texas A&M University, 236E Zachry Engineering Center, College Station, TX 77843-3131, USA
P. M. Pardalos: Department of Industrial and Systems Engineering, University of Florida, 303 Weil Hall, Gainesville, FL 32611, USA

Chapter 1 in Supply Chain and Finance, 2004, pp 1-14 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe give an overview of a novel network-based methodology used to analyze the internal structure of financial markets. In the core of this methodology, is a graph representation of the data corresponding to the correlations between time series representing price fluctuations of the financial instruments. The resulting graph is referred to as market graph. Studying properties of the market graph based on data from the U.S. stock market leads to several important conclusions regarding the global structure of the modern stock market. This methodology also provides a new tool for classification of stocks and portfolio selection.

Keywords: Finance; Supply Chain; E-Commerce; Optimization; Mathematical Modeling; Operations Research (search for similar items in EconPapers)
Date: 2004
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