EconPapers    
Economics at your fingertips  
 

Stock market as temporal network

Longfeng Zhao, Gang-Jin Wang, Mingang Wang, Weiqi Bao, Wei Li and H. Eugene Stanley

Papers from arXiv.org

Abstract: Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network framework to characterize the time-evolving correlation-based networks of stock markets. The market instability can be detected by the evolution of the topology structure of the financial networks. We employ the temporal centrality as a portfolio selection tool. Those portfolios, which are composed of peripheral stocks with low temporal centrality scores, have consistently better performance under different portfolio optimization schemes, suggesting that the temporal centrality measure can be used as new portfolio optimization and risk management tools. Our results reveal the importance of the temporal attributes of the stock markets, which should be taken serious consideration in real life applications.

New Economics Papers: this item is included in nep-net and nep-rmg
Date: 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1712.04863 Latest version (application/pdf)

Related works:
Journal Article: Stock market as temporal network (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1712.04863

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-09-21
Handle: RePEc:arx:papers:1712.04863