Mining market data: A network approach

Boginski, V

doi:10.1016/j.cor.2005.01.027

2006-11-01

201

PRE

Boginski, V

Sergiy Butenko

Pãnos M. Pardalos

DOI：10.1016/j.cor.2005.01.027

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摘要

En 中文

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. (c) 2005 Elsevier Ltd. All rights reserved.

Keyword:

market graph

data mining

stock price fluctuations

cross-correlation

graph theory

degree distribution

power-law model

clustering

clique

independent set

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期刊

Computers and Operations Research

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4.3

论文数:

6.5K

被引数:

1.8W

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