Asset Trees and Asset Graphs in Financial Markets
From MaRDI portal
Abstract: This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the new modified methodology does not, in general, lead to a tree but a graph, or several graphs that need not be inter-connected. The asset tree, due to the minimum spanning tree criterion, is forced to ``accept edge lengths that are far less optimal (longer) than the asset graph, thus resulting in higher overall length for the tree. The same criterion also causes asset trees to be more fragile in structure when measured by the single-step survival ratio. Over longer time periods, in the beginning the asset graph decays more slowly than the asset tree, but in the long-run the situation is reversed. The vertex degree distributions indicate that the possible scale free behavior of the asset graph is not as evident as it is in the case of the asset tree.
Recommendations
- Dynamic asset trees and Black Monday
- SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
- Equity trees and graphs via information theory
- DYNAMICS AND STRUCTURE OF THE MAIN ITALIAN COMPANIES
- CENTRALITY AND PERIPHERALITY IN FILTERED GRAPHS FROM DYNAMICAL FINANCIAL CORRELATIONS
Cited in
(32)- Overlapping modularity at the critical point of \(k\)-clique percolation
- Stability and hierarchy of quasi-stationary states: financial markets as an example
- Stock data clustering and multiscale trend detection
- Dynamic asset trees and Black Monday
- Dynamics of cluster structure in financial correlation matrix
- TOPOLOGICAL PROPERTIES OF BANK NETWORKS: THE CASE OF BRAZIL
- Equity markets' clustering and the global financial crisis
- Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
- DYNAMICS AND STRUCTURE OF THE MAIN ITALIAN COMPANIES
- A dynamic latent-space model for asset clustering
- Dynamic communities in stock market
- A review of two decades of correlations, hierarchies, networks and clustering in financial markets
- Boolean network representation of contagion dynamics during a financial crisis
- Bayesian dynamic financial networks with time-varying predictors
- The effects of node exclusion on the centrality measures in graph models of interacting economic agents
- Bank supervision using the threshold-minimum dominating set
- Equity trees and graphs via information theory
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- Community detection in temporal multilayer networks, with an application to correlation networks
- Study of statistical correlations in intraday and daily financial return time series
- Risk-dependent centrality in economic and financial networks
- Systemic risk and complex systems: a graph-theory analysis
- Systemic risk and causality dynamics of the world international shipping market
- Macroeconomic and financial networks: review of some recent developments in parametric and non-parametric approaches
- Asset allocation: new evidence through network approaches
- The structure and resilience of financial market networks
- SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
- Smart network based portfolios
- Emerging markets in the global economic network: real(ly) decoupling?
- The maximum number of 3- and 4-cliques within a planar maximally filtered graph
- Analyzing the stock market based on the structure of \textit{kNN} network
- Degree stability of a minimum spanning tree of price return and volatility
This page was built for publication: Asset Trees and Asset Graphs in Financial Markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4825220)
