Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series

Cheoljun Eom, Gabjin Oh, Woo-Sung Jung, Hawoong Jeong and Seunghwan Kim

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 6, 900-906

Abstract: We investigated the topological properties of stock networks constructed by a minimal spanning tree. We compared the original stock network with the estimated network; the original network is obtained by the actual stock returns, while the estimated network is the correlation matrix created by random matrix theory. We found that the consistency between the two networks increases as more eigenvalues are considered. In addition, we suggested that the largest eigenvalue has a significant influence on the formation of stock networks.

Keywords: Random matrix theory; Minimal spanning tree; Stock market (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:6:p:900-906

DOI: 10.1016/j.physa.2008.12.006

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