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bgsu1234473233.pdf (1.5 MB)
ETD Abstract Container
Abstract Header
Financial Networks and Their Applications to the Stock Market
Author Info
Mandere, Edward Ondieki
Permalink:
http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233
Abstract Details
Year and Degree
2009, Master of Science (MS), Bowling Green State University, Physics.
Abstract
Complex networks exist in many different fields of study. Recently financial networks have garnered a lot of interest mainly as a way of visualizing the relationships between financial entities. This makes them useful in assessing current market dynamics and in predicting future market conditions. The most studied network in econophysics is the correlation network of stock price returns. Stock price return correlations are used to determine a metric distance between stocks. A minimum spanning tree algorithm (Prim's or Kruskal's) is then applied to find closest stocks to create a tree. These networks can then be used to identifyand cluster stocks into economic sectors based on their proximity. Some characteristics of these networks such as topology, connectedness and size will be studied in this thesis. The use of these correlation networks in modern portfolio optimization problem will be considered. Using correlation networks to predict large and coordinated price movements will also be discussed.
Committee
Haowen Xi, PhD (Advisor)
Hassan Rajaei, PhD (Committee Member)
Bruno Ullrich, PhD (Committee Member)
Ronald Lancaster, PhD (Committee Member)
Pages
54 p.
Subject Headings
Physics
Keywords
econophysics
;
Correlation Matrices
;
Correlation Networks
;
Random Matrix Theory
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Citations
Mandere, E. O. (2009).
Financial Networks and Their Applications to the Stock Market
[Master's thesis, Bowling Green State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233
APA Style (7th edition)
Mandere, Edward.
Financial Networks and Their Applications to the Stock Market.
2009. Bowling Green State University, Master's thesis.
OhioLINK Electronic Theses and Dissertations Center
, http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233.
MLA Style (8th edition)
Mandere, Edward. "Financial Networks and Their Applications to the Stock Market." Master's thesis, Bowling Green State University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233
Chicago Manual of Style (17th edition)
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Document number:
bgsu1234473233
Download Count:
4,699
Copyright Info
© 2009, all rights reserved.
This open access ETD is published by Bowling Green State University and OhioLINK.