Cluster formation and evolution in networks of financial market indices

Details Cluster formation and evolution in networks of financial market indices Cluster formation and evolution in networks of financial market indices

2011-11-22

arxiv.org/abs/1111.5069v1

Economy

Quantitative Finance

Statistical Finance

Scientific paper

Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how clusters are formed according to correlations among indices and how they evolve in time, particularly during times of financial crises. Further analysis is made on the eigenvectors corresponding to the second highest eigenvalues of the correlation matrices, revealing a structure peculiar to markets that operate in different time zones.

Affiliated with

Also associated with

No associations

Rating

Cluster formation and evolution in networks of financial market indices does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Cluster formation and evolution in networks of financial market indices, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Cluster formation and evolution in networks of financial market indices will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-552047