Title of article
Mining market data: A network approach
Author/Authors
Vladimir Boginski، نويسنده , , Sergiy Butenko، نويسنده , , Panos M. Pardalos، نويسنده ,
Issue Information
ماهنامه با شماره پیاپی سال 2006
Pages
14
From page
3171
To page
3184
Abstract
We consider a network representation of the stock market data referred to as the market graph, which is constructed by calculating cross-correlations between pairs of stocks based on the opening prices data over a certain period of time. We study the evolution of the structural properties of the market graph over time and draw conclusions regarding the dynamics of the stock market development based on the interpretation of the obtained results.
Keywords
Data mining , Stock price fluctuations , Cross-correlation , Graph theory , Power-law model , Clustering , Clique , Independent set , Market graph , Degree distribution
Journal title
Computers and Operations Research
Serial Year
2006
Journal title
Computers and Operations Research
Record number
928814
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