Network-based representation of stock market dynamics: An application to American and Swedish stock markets
2013 (English)In: Springer Proceedings in Mathematics and Statistics, ISSN 2194-1009, Vol. 32, 93-106 p.Article in journal (Refereed) Published
We consider three network-based models of the stock market (referred to as market graphs): one solely based on stock returns, another one based on stock returns with vertices weighted with a liquidity measure, and lastly one based on correlations of volume fluctuations. We utilize graph theory as a means for analyzing the stock market in order to show that one can potentially gain insight into structural properties and dynamics of the stock market by studying market graphs. The approach is applied to the data representing American and Swedish stock markets.
Place, publisher, year, edition, pages
2013. Vol. 32, 93-106 p.
American and Swedish stock markets, Dynamics of the stock market, Liquidity measure, Market graphs, Network-based models, Stock returns
Mathematics Economics and Business
IdentifiersURN: urn:nbn:se:kth:diva-133394DOI: 10.1007/978-1-4614-5574-5_5ScopusID: 2-s2.0-84883375299OAI: oai:DiVA.org:kth-133394DiVA: diva2:661817
QC 201311052013-11-052013-10-312013-11-05Bibliographically approved