Structural Evolution of Stock Networks

Serkan Alkan, Khaldoun Khashanah

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

5 Scopus citations

Abstract

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.

Original languageEnglish
Title of host publicationProceedings - 11th International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2015
EditorsKokou Yetongnon, Albert Dipanda, Richard Chbeir
Pages406-412
Number of pages7
ISBN (Electronic)9781467397216
DOIs
StatePublished - 5 Feb 2016
Event11th International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2015 - Bangkok, Thailand
Duration: 23 Nov 201527 Nov 2015

Publication series

NameProceedings - 11th International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2015

Conference

Conference11th International Conference on Signal-Image Technology and Internet-Based Systems, SITIS 2015
Country/TerritoryThailand
CityBangkok
Period23/11/1527/11/15

Keywords

  • Bonferroni correction
  • Information Theory quantifiers
  • Jensen-Shannon Divergence
  • Partial Correlation
  • Statistical Complexity
  • Stock network evolution

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