Financial Networks and Their Applications to the Stock Market

Financial Networks and Their Applications to the Stock Market

Bibliographic Details
Main Author: Mandere, Edward Ondieki
Language:English
Published: Bowling Green State University / OhioLINK 2009
Subjects:
Physics
econophysics
Correlation Matrices
Correlation Networks
Random Matrix Theory
Online Access:http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233
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spelling ndltd-OhioLink-oai-etd.ohiolink.edu-bgsu12344732332021-08-03T05:28:55Z Financial Networks and Their Applications to the Stock Market Mandere, Edward Ondieki Physics econophysics Correlation Matrices Correlation Networks Random Matrix Theory Complex networks exist in many different fields of study. Recently financial networks have garnered a lot of interest mainly as a way of visualizing the relationships between financial entities. This makes them useful in assessing current market dynamics and in predicting future market conditions. The most studied network in econophysics is the correlation network of stock price returns. Stock price return correlations are used to determine a metric distance between stocks. A minimum spanning tree algorithm (Prim's or Kruskal's) is then applied to find closest stocks to create a tree. These networks can then be used to identifyand cluster stocks into economic sectors based on their proximity. Some characteristics of these networks such as topology, connectedness and size will be studied in this thesis. The use of these correlation networks in modern portfolio optimization problem will be considered. Using correlation networks to predict large and coordinated price movements will also be discussed. 2009-03-19 English text Bowling Green State University / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233 http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws.
collection NDLTD
language English
sources NDLTD
topic Physics
econophysics
Correlation Matrices
Correlation Networks
Random Matrix Theory
spellingShingle Physics
econophysics
Correlation Matrices
Correlation Networks
Random Matrix Theory
Mandere, Edward Ondieki
Financial Networks and Their Applications to the Stock Market
author Mandere, Edward Ondieki
author_facet Mandere, Edward Ondieki
author_sort Mandere, Edward Ondieki
title Financial Networks and Their Applications to the Stock Market
title_short Financial Networks and Their Applications to the Stock Market
title_full Financial Networks and Their Applications to the Stock Market
title_fullStr Financial Networks and Their Applications to the Stock Market
title_full_unstemmed Financial Networks and Their Applications to the Stock Market
title_sort financial networks and their applications to the stock market
publisher Bowling Green State University / OhioLINK
publishDate 2009
url http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233
work_keys_str_mv AT mandereedwardondieki financialnetworksandtheirapplicationstothestockmarket
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