Optimality problem of network topology in stocks market analysis
作者： Maman Abdurachman Djauhari , Siew Lee Gan
DOI: 10.1016/J.PHYSA.2014.09.060
关键词: Mathematical optimization 、 Econophysics 、 Computer science 、 Degree distribution 、 Minimum spanning tree 、 Stock exchange 、 Financial market 、 Stock market index 、 Market analysis 、 Network topology
摘要: Abstract Since its introduction fifteen years ago, minimal spanning tree has become an indispensible tool in econophysics. It is to filter the important economic information contained a complex system of financial markets’ commodities. Here we show that, general, that not optimal terms topological properties. Consequently, interpretation filtered might be misleading. To overcome non-optimality problem, set criteria and selection procedure will developed. By using New York Stock Exchange data, advantages proposed method illustrated power-law degree distribution.
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