A Map of the Brazilian Stock Market

Leonidas Sandoval Junior ()

Papers from arXiv.org

Abstract: We use the correlation matrix of stocks returns in order to create maps of the S\~ao Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analised using techniques of network theory.

Date: 2011-07, Revised 2013-03
New Economics Papers: this item is included in nep-fmk and nep-mst
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Published in Advances in Complex Systems 2, Vol. 15, No. 4 (2012) 1250042

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1107.4146

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