Title :
Minimal spanning tree for Shanghai-Shenzhen 300 stock index
Author :
Zhuang, Ruixin ; Hu, Bin ; Ye, Zhongxing
Author_Institution :
Dept. of Math., Jiaotong Univ., Shanghai
Abstract :
This paper uses the ultrametric clustering which is based on time series of stock prices. By calculating the ultrametric distance-matrix of the stocks in Shanghai-Shenzhen 300 index, a minimum spanning tree (MST) which has certain topological meaning can be drawn. And this MST explains the physical correlation between the topological structure and economic classification of the stocks trading on markets.
Keywords :
economics; statistical analysis; stock markets; trees (mathematics); Shanghai-Shenzhen 300 stock index; economic classification; minimal spanning tree; stock prices; stocks trading; time series; topological structure; ultrametric clustering; ultrametric distance-matrix; Classification tree analysis; Clustering algorithms; Fluctuations; Forward contracts; Microstructure; Network topology; Portfolios; Random processes; Stability; Stock markets; Kruskal algorithm; correlation matrix; minimum spanning tree; ultrametric clustering;
Conference_Titel :
Evolutionary Computation, 2008. CEC 2008. (IEEE World Congress on Computational Intelligence). IEEE Congress on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4244-1822-0
Electronic_ISBN :
978-1-4244-1823-7
DOI :
10.1109/CEC.2008.4630980
