2006-08-26 papers

on Computational Economics

Issue of 2006–08–26
one paper chosen by
Stan Miles, Thompson Rivers University

Highly Interconnected Subsystems of the Stock Market By John Idicula

Highly Interconnected Subsystems of the Stock Market

By:	John Idicula (Netz Informatics)
Abstract:	The stock market is a complex system that affects economic and financial activities around the world. Analysis of stock price data can improve our understanding of the past price movements of stocks. In this work, we develop a method to determine the highly interconnected subsystems of the stock market. Our method relies on a k-core decomposition scheme to analyze large networks. Our approach illustrates that the stock market is a nearly decomposable system which comprises hierarchic subsystems. This work also presents results from the analysis of a network derived from a large data set of stock prices. This network analysis technique is a new promising approach to analyze and classify stocks based on price interactions and to decompose the complex system embodied in the stock market.
Date:	2004–12
URL:	https://d.repec.org/n?u=RePEc:net:wpaper:0417

This issue is ©2006 by Stan Miles. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.

General information on the NEP project can be found at https://nep.repec.org. For comments please write to the director of NEP, Marco Novarese at <director@nep.repec.org>. Put “NEP” in the subject, otherwise your mail may be rejected.

NEP’s infrastructure is sponsored by the Griffith Business School of Griffith University in Australia.