Do Stocks Stalk Other Stocks in Their Complex Network? A Complex Networks Approach to Stock Market Dynamics
| Autor: | Kevin Kearns, Diqing Wu, Harish Sundaresh, Koushik Balasubramanian |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Information Systems and Management
Computer science Strategy and Management Financial instrument Space (commercial competition) Complex network Computational Theory and Mathematics Artificial Intelligence Dynamics (music) Econometrics Business Management and Accounting (miscellaneous) Stock market Business and International Management Representation (mathematics) Cluster analysis Finance Information Systems |
| Zdroj: | The Journal of Financial Data Science. 1:35-54 |
| ISSN: | 2640-3943 |
| DOI: | 10.3905/jfds.2019.1.2.035 |
| Popis: | This article presents a complex network approach to analyze the dynamics of the US stock market. The authors first introduce a machine learning technique to learn a latent space representation of the financial instruments using a complex networks approach to analyze the dynamics of the stock market. They show that the clustering of co-moving assets and breaking of already existing clusters have interesting connections to regime changes in the market. The authors also present some preliminary ideas on incorporating the effects of news and announcements in the dynamics of the assets. |
| Databáze: | OpenAIRE |
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