Correlation network analysis for multi-dimensional data in stocks market

Mansooreh Kazemilari and Maman Abdurachman Djauhari

Physica A: Statistical Mechanics and its Applications, 2015, vol. 429, issue C, 62-75

Abstract: This paper shows how the concept of vector correlation can appropriately measure the similarity among multivariate time series in stocks network. The motivation of this paper is (i) to apply the RV coefficient to define the network among stocks where each of them is represented by a multivariate time series; (ii) to analyze that network in terms of topological structure of the stocks of all minimum spanning trees, and (iii) to compare the network topology between univariate correlation based on r and multivariate correlation network based on RV coefficient.

Keywords: Multivariate association; Escoffier’s operator; Stocks network analysis; Vector correlation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:429:y:2015:i:c:p:62-75

DOI: 10.1016/j.physa.2015.02.052

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