Mining market data: A network approach Academic Article

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. 2005 Elsevier Ltd. All rights reserved.

authors

• Butenko, Sergiy

published proceedings

• Computers and Operations Research

author list (cited authors)

• Boginski, V., Butenko, S., & Pardalos, P. M.

citation count

• 193

complete list of authors

• Boginski, V||Butenko, S||Pardalos, PM

publication date

• November 2006

published in

• Computers & Operations Research  Journal

Digital Object Identifier (DOI)

• 10.1016/j.cor.2005.01.027

start page

• 3171

end page

• 3184

volume

• 33

issue

• 11