Grouping characteristics of industry sectors in financial markets
We investigated the grouping coefficients of industrial sectors in the stock network based on stock data for the U.S. and Korean stock markets. These complex networks were modeled using the minimal spanning tree (MST) method. We propose a novel approach based on the shortest path length (SPL) betwee...
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| Veröffentlicht in: | Physica A 2014-02, Vol.395, p.261-268 |
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| container_title | Physica A |
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| creator | Oh, Gabjin |
| description | We investigated the grouping coefficients of industrial sectors in the stock network based on stock data for the U.S. and Korean stock markets. These complex networks were modeled using the minimal spanning tree (MST) method. We propose a novel approach based on the shortest path length (SPL) between stocks to quantify the grouping characteristics of the industrial sectors. We find that the grouping coefficients for the industrial sector in the U.S. are larger than those of the Korean stock market. In particular, for the Korean stock market the conglomerates, comprised of a diverse of industrial companies, have a significant grouping coefficient.
•US and Korean stock markets show different features in grouping coefficient of industrial sectors.•We investigate grouping coefficient of industrial sectors.•Grouping coefficient of industrial sectors is calculated by minimal spanning tree.•Conglomerates play important role determining the grouping mechanism. |
| doi_str_mv | 10.1016/j.physa.2013.09.031 |
| format | Article |
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| ispartof | Physica A, 2014-02, Vol.395, p.261-268 |
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| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Complex network Graph theory Grouping coefficient Markets Mathematical models Minimum spanning tree Networks Raw materials Shortest-path problems Statistical mechanics |
| title | Grouping characteristics of industry sectors in financial markets |
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