Topological Properties of Stock Networks Based on Random Matrix Theory in Financial Time Series

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dc.creatorEom, Cheoljun
dc.creatorOh, Gapjin
dc.creatorJeong, Hawoong
dc.creatorKim, Seunghwan
dc.date2007-09-14
dc.date.accessioned2026-07-07T12:05:25Z
dc.date.available2026-07-07T12:05:25Z
dc.descriptionWe investigated the topological properties of stock networks through a comparison of the original stock network with the estimated stock network from the correlation matrix created by the random matrix theory (RMT). We used individual stocks traded on the market indices of Korea, Japan, Canada, the USA, Italy, and the UK. The results are as follows. As the correlation matrix reflects the more eigenvalue property, the estimated stock network from the correlation matrix gradually increases the degree of consistency with the original stock network. Each stock with a different number of links to other stocks in the original stock network shows a different response. In particular, the largest eigenvalue is a significant deterministic factor in terms of the formation of a stock network.
dc.description8 pages, 1 figure
dc.identifierhttps://arxiv.org/abs/0709.2209
dc.identifierhttp://arxiv.org/abs/0709.2209
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208372
dc.subjectStatistical Finance
dc.subjectData Analysis, Statistics and Probability
dc.titleTopological Properties of Stock Networks Based on Random Matrix Theory in Financial Time Series
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