Influence of the time scale on the construction of financial networks

Frank Emmert-Streib, Matthias Dehmer

Tutkimustuotos: ArtikkeliTieteellinenvertaisarvioitu

30 Sitaatiot (Scopus)

Abstrakti

Background: In this paper we investigate the definition and formation of financial networks. Specifically, we study the influence of the time scale on their construction. Methodology/Principal Findings: For our analysis we use correlation-based networks obtained from the daily closing prices of stock market data. More precisely, we use the 30 stocks that currently comprise the Dow Jones Industrial Average (DJIA) and estimate financial networks where nodes correspond to stocks and edges correspond to none vanishing correlation coefficients. That means only if a correlation coefficient is statistically significant different from zero, we include an edge in the network. This construction procedure results in unweighted, undirected networks. By separating the time series of stock prices in non-overlapping intervals, we obtain one network per interval. The length of these intervals corresponds to the time scale of the data, whose influence on the construction of the networks will be studied in this paper.Conclusions/Significance: Numerical analysis of four different measures in dependence on the time scale for the construction of networks allows us to gain insights about the intrinsic time scale of the stock market with respect to a meaningful graph-theoretical analysis.

AlkuperäiskieliEnglanti
Artikkelie12884
Sivut1-9
Sivumäärä9
JulkaisuPLoS ONE
Vuosikerta5
Numero9
DOI - pysyväislinkit
TilaJulkaistu - 30 syysk. 2010
Julkaistu ulkoisestiKyllä
OKM-julkaisutyyppiA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä

!!ASJC Scopus subject areas

  • Yleiset maatalous- ja biotieteet
  • Yleinen biokemia, genetiikka ja molekyylibiologia
  • Yleinen lääketiede

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