Monitoring the Dynamic Networks of Stock Returns

Elena Farahbakhsh Touli, Hoang Nguyen and Olha Bodnar

Papers from arXiv.org

Abstract: In this paper, we study the connection between the companies in the Swedish capital market. We consider 28 companies included in the determination of the market index OMX30. The network structure of the market is constructed using different methods to determine the distance between the companies. We use hierarchical clustering methods to find the relation among the companies in each window. Next, we obtain one-dimensional time series of the distances between the clustering trees that reflect the changes in the relationship between the companies in the market over time. The method of statistical process control, namely the Shewhart control chart, is applied to those time series to detect abnormal changes in the financial market.

Date: 2022-10
New Economics Papers: this item is included in nep-fmk and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2210.16679 Latest version (application/pdf)

Related works:
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:2210.16679

Access Statistics for this paper

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