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Mining market data: A network approach
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DOI：10.1016/j.cor.2005.01.027.png)
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Abstract
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.
Keywords:
market graph
data mining
stock price fluctuations
cross-correlation
graph theory
degree distribution
power-law model
clustering
clique
independent set
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