Are stock market networks non-fractal? Evidence from New York Stock Exchange

Zhi-Jian Zeng, Chi Xie, Xin-Guo Yan, Jue Hu and Zhou Mao

Finance Research Letters, 2016, vol. 17, issue C, 97-102

Abstract: In this paper, we investigate the fractal (non-fractal) property of stock market network by using the edge-covering with simulated annealing method. We choose the daily closing price of 2109 stocks traded on the NYSE during the period from 2011 to 2014 as dataset and construct the network by using minimal spanning tree (MST). The empirical results show that the degree of stocks obeys power-law distribution and the highly connected stocks connect with each other directly, i.e., the stock market network is non-fractal. Our work provides a new perspective on risk management, which can be used in other network-based financial systems.

Keywords: Econophysics; Stock market; (Non)-fractal; Minimum spanning tree (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:97-102

DOI: 10.1016/j.frl.2016.02.002

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