Search Results - subject:"Minimum Spanning Tree"

Dynamic structure of the US financial systems

Khashanah, Khaldoun; Miao, Linyan - In: Studies in Economics and Finance 28 (2011) October, pp. 321-339

Purpose – This paper empirically investigates the structural evolution of the US financial systems. It particularly aims to explore if the structure of the financial systems changes when the economy enters a recession. Design/methodology/approach – The empirical analysis is conducted through...

Persistent link: https://www.econbiz.de/10010551615

The Factorial Minimum Spanning Tree as a Reference for a Synthetic Index of Complex Phenomena

Scippacercola, Sergio - In: Journal of Classification 28 (2011) 1, pp. 21-37

Persistent link: https://www.econbiz.de/10009149632

Dynamic structure of the US financial systems

Khashanah, Khaldoun; Miao, Linyan - In: Studies in economics and finance 28 (2011) 4, pp. 321-339

Persistent link: https://www.econbiz.de/10009388606

The expectation hypothesis of interest rates and network theory: The case of Brazil

Tabak, Benjamin M.; Serra, Thiago R.; Cajueiro, Daniel O. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 7, pp. 1137-1149

the minimum spanning tree (MST), which is based on the concept of ultrametricity, using the correlation matrix for …

Persistent link: https://www.econbiz.de/10010872600

Network structure of cross-correlations among the world market indices

Eryiğit, Mehmet; Eryiğit, Resul - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3551-3562

We report the results of an investigation of the properties of the networks formed by the cross-correlations of the daily and weekly index changes of 143 stock market indices from 59 different countries. Analysis of the asset graphs, minimum spanning trees (MST) and planar maximally filtered...

Persistent link: https://www.econbiz.de/10011061584

Globalization — Entropy unification through the Theil index

Miśkiewicz, Janusz - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 26, pp. 6595-6604

of time averaging in such finite size windows is discussed. We construct the locally minimum spanning tree (LMST …

Persistent link: https://www.econbiz.de/10011062067

CENTRALITY AND PERIPHERALITY IN FILTERED GRAPHS FROM DYNAMICAL FINANCIAL CORRELATIONS

POZZI, F.; MATTEO, T. DI; ASTE, T. - In: Advances in Complex Systems (ACS) 11 (2008) 06, pp. 927-950

Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic...

Persistent link: https://www.econbiz.de/10005080924

NEW METAHEURISTIC APPROACHES FOR THE LEAF-CONSTRAINED MINIMUM SPANNING TREE PROBLEM

SINGH, ALOK; BAGHEL, ANURAG SINGH - In: Asia-Pacific Journal of Operational Research (APJOR) 25 (2008) 04, pp. 575-589

Given an undirected, connected, weighted graph, the leaf-constrained minimum spanning tree (LCMST) problem seeks a …

Persistent link: https://www.econbiz.de/10005050669

Group dynamics of the Japanese market

Jung, Woo-Sung; Kwon, Okyu; Wang, Fengzhong; Kaizoji, Taisei - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 537-542

We investigated the network structures of the Japanese stock market using the minimum spanning tree. We defined a …

Persistent link: https://www.econbiz.de/10010590322

Correlation study of the Athens Stock Exchange

Garas, Antonios; Argyrakis, Panos - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 399-410

time period 1987–2004. We use the minimum spanning tree (MST) technique and the random matrix theory (RMT), which make it …

Persistent link: https://www.econbiz.de/10010591192