Title :
A gap analysis to identify the outlier of stocks traded at Bursa Malaysia
Author :
Sharif, S. ; Djauhari, M.A.
Author_Institution :
Sch. of Quantitative Sci., Univ. Utara Malaysia, Sintok, Malaysia
Abstract :
In stock networks analysis, the influential stocks is usually identified by using minimal spanning tree (MST) to filter the important information followed by the centrality measures analysis. In this paper, we introduce an analysis to identify the stocks that might have different behaviour compared to the others. Like the centrality measures analysis, this analysis is also conducted based on MST. A case study on stock networks at KLSE will be reported and discussed.
Keywords :
information filtering; stock markets; trees (mathematics); Bursa Malaysia; KLSE; MST; centrality measures analysis; gap analysis; information filtering; minimal spanning tree; stock network analysis; stock outlier identification; Algorithm design and analysis; Correlation; Educational institutions; Image edge detection; Labeling; Stock markets; Testing; Kruskal´s Algorithm; correlation matrix; distance matrix; gamma distribution;
Conference_Titel :
Statistics in Science, Business, and Engineering (ICSSBE), 2012 International Conference on
Conference_Location :
Langkawi
Print_ISBN :
978-1-4673-1581-4
DOI :
10.1109/ICSSBE.2012.6396529
