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Quantitative Finance > Statistical Finance

Title: Effective construction of threshold networks of stock markets

Abstract: Although the threshold network is one of the most used tools to characterize the underlying structure of a stock market, the identification of the optimal threshold to construct a reliable stock network is a central challenge. In this paper, the concept of dynamic consistence between the threshold network and the stock market is proposed. The optimal threshold is estimated by maximizing the consistence function. The application of this procedure to stocks belonging to Standard and Pool's 500 Index from January 2006 to December 2011 yields the threshold value 0.28. In analyzing topological characteristics of the generated network, three globally financial crises can be distinguished well from the evolutionary perspective.
Comments: latex, 15 pages, 6 figures
Subjects: Statistical Finance (q-fin.ST); Physics and Society (physics.soc-ph)
Cite as: arXiv:1803.06223 [q-fin.ST]
  (or arXiv:1803.06223v1 [q-fin.ST] for this version)

Submission history

From: Xin-Jian Xu [view email]
[v1] Tue, 6 Mar 2018 05:55:48 GMT (148kb)