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Phase Synchronization Approach to Construction and Analysis of Stock Correlation Network

✍ Scribed by Sivarit Sultornsanee; Srinivasan Radhakrishnan; David Falco; Abe Zeid; Sagar Kamarthi

Book ID
113863224
Publisher
Elsevier
Year
2011
Tongue
English
Weight
282 KB
Volume
6
Category
Article
ISSN
1877-0509

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Correlation matrices inferred from stock return time series contain information on the behaviour of the market, especially on clusters of highly correlating stocks. Here we study a subset of New York Stock Exchange (NYSE) traded stocks and compare three different methods of analysis: (i) spectral an