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Stock Market Network Topology Analysis Based on a Minimum Spanning Tree Approach

Zhang, Yinghua
http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1245347181

Abstract Details

2009, Master of Science (MS), Bowling Green State University, Physics.
In essence, the stock market is a complex network. The price fluctuations among variousstocks have complicated relationships. In my research, I analyze the dynamics of the stock market by virtue of graph. I make use of a Minimum Spanning Tree (MST) to probe the relationships between financial entities. Meanwhile, I take advange of Pajak, an excellent computer program for the analysis and visualization of graphs, to assess market dynamics across four famous market crashes. Dow 30 is our sample. When drawing the graphs, the Dow Jones Industrial Average Index (DJI) was included, which was always in the center of all the graphs. Furthermore, the DJI always had small volatility whenever it was used. In addition, I found that the total minimum distance of a MST would become small as crash took place, it would rise when the stock market was far away from the effects of crash.
Haowen Xi (Advisor)
Lewis P. Fulcher (Committee Member)
Robert I. Boughton (Committee Member)
65 p.
Physics
Minimum Spanning Tree; Visualization; Correlation Matrices; Correlation Networks; Random Matrix Theory

Recommended Citations

Citations

  • Zhang, Y. (2009). Stock Market Network Topology Analysis Based on a Minimum Spanning Tree Approach [Master's thesis, Bowling Green State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1245347181

    APA Style (7th edition)

  • Zhang, Yinghua. Stock Market Network Topology Analysis Based on a Minimum Spanning Tree Approach. 2009. Bowling Green State University, Master's thesis. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1245347181.

    MLA Style (8th edition)

  • Zhang, Yinghua. "Stock Market Network Topology Analysis Based on a Minimum Spanning Tree Approach." Master's thesis, Bowling Green State University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1245347181

    Chicago Manual of Style (17th edition)

bgsu1245347181
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© 2009, all rights reserved.
This open access ETD is published by Bowling Green State University and OhioLINK.