Mining market data: a network approach

  • Authors:
  • Vladimir Boginski;Sergiy Butenko;Panos M. Pardalos

  • Affiliations:
  • Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL;Department of Industrial Engineering, Texas A&M University, College Station, TX;Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL

  • Venue:
  • Computers and Operations Research
  • Year:
  • 2006

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Abstract

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.