TY - GEN
T1 - Structural Evolution of Stock Networks
AU - Alkan, Serkan
AU - Khashanah, Khaldoun
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2016/2/5
Y1 - 2016/2/5
N2 - In this study, we report the changes and evolution of non-overlapping yearly stock networks (asset graph) in time period from 2000 to 2012. Thirteen annual non-overlapping windows are created by Bonferroni correction of p-values used to estimate a partial-correlation threshold for portfolio of 60 stocks belonging the SP100 index. We analyze each network structure by applying tools from Information Theory and descriptive quantifiers from complex networks to quantify and compare evolving network's topologies. We have found that stock network structure drastically changed after the year 2006, and network has higher level of randomness in the structures of year 2008 and year 2011.
AB - In this study, we report the changes and evolution of non-overlapping yearly stock networks (asset graph) in time period from 2000 to 2012. Thirteen annual non-overlapping windows are created by Bonferroni correction of p-values used to estimate a partial-correlation threshold for portfolio of 60 stocks belonging the SP100 index. We analyze each network structure by applying tools from Information Theory and descriptive quantifiers from complex networks to quantify and compare evolving network's topologies. We have found that stock network structure drastically changed after the year 2006, and network has higher level of randomness in the structures of year 2008 and year 2011.
KW - Bonferroni correction
KW - Information Theory quantifiers
KW - Jensen-Shannon Divergence
KW - Partial Correlation
KW - Statistical Complexity
KW - Stock network evolution
UR - http://www.scopus.com/inward/record.url?scp=84966264841&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84966264841&partnerID=8YFLogxK
U2 - 10.1109/SITIS.2015.118
DO - 10.1109/SITIS.2015.118
M3 - Conference contribution
AN - SCOPUS:84966264841
T3 - Proceedings - 11th International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2015
SP - 406
EP - 412
BT - Proceedings - 11th International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2015
A2 - Yetongnon, Kokou
A2 - Dipanda, Albert
A2 - Chbeir, Richard
T2 - 11th International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2015
Y2 - 23 November 2015 through 27 November 2015
ER -