Deterministic factors of stock networks based on cross-correlation in financial market
暂无分享,去创建一个
Gabjin Oh | G. Oh | Seunghwan Kim | C. Eom | Cheoljun Eom | Seunghwan Kim
[1] R. Cattell. The Scree Test For The Number Of Factors. , 1966, Multivariate behavioral research.
[2] I.-M. Kim,et al. Scale-Free Network in Stock Markets , 2002 .
[3] F. Lillo,et al. High-frequency cross-correlation in a set of stocks , 2000 .
[4] J. Gower,et al. Minimum Spanning Trees and Single Linkage Cluster Analysis , 1969 .
[5] 芝 祐順,et al. Modern Factor Analysis, HARRY H. HARMAN, The University of Chicago Press, Chicago, 1960 , 1961 .
[6] R. Prim. Shortest connection networks and some generalizations , 1957 .
[7] B. S. Everitt,et al. Cluster analysis , 2014, Encyclopedia of Social Network Analysis and Mining.
[8] R. Mantegna. Hierarchical structure in financial markets , 1998, cond-mat/9802256.
[9] S. Ross. The arbitrage theory of capital asset pricing , 1976 .
[10] H. Kaiser. The varimax criterion for analytic rotation in factor analysis , 1958 .
[11] Fabrizio Lillo,et al. Degree stability of a minimum spanning tree of price return and volatility , 2003 .
[12] Ki-Young Jung,et al. Classification of epilepsy types through global network analysis of scalp electroencephalograms. , 2006, Physical review. E, Statistical, nonlinear, and soft matter physics.
[13] Nicolas Vandewalle,et al. Non-random topology of stock markets , 2001 .
[14] Woo-Sung Jung,et al. Effect of changing data size on eigenvalues in the Korean and Japanese stock markets , 2009 .
[15] B. King. Market and Industry Factors in Stock Price Behavior , 1966 .
[16] Hawoong Jeong,et al. Systematic analysis of group identification in stock markets. , 2005, Physical review. E, Statistical, nonlinear, and soft matter physics.
[17] Jr. James L. Farrell. Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings , 1974 .
[18] H. Harman. Modern factor analysis , 1961 .
[19] Chin-Kun Hu,et al. Stochastic dynamical model for stock-stock correlations. , 2004, Physical review. E, Statistical, nonlinear, and soft matter physics.
[20] John D. Martin,et al. The Effect of Homogeneous Stock Groupings on Portfolio Risk , 1976 .
[21] F. Lillo,et al. Topology of correlation-based minimal spanning trees in real and model markets. , 2002, Physical review. E, Statistical, nonlinear, and soft matter physics.
[22] J. Lintner. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .
[23] J. Kruskal. On the shortest spanning subtree of a graph and the traveling salesman problem , 1956 .
[24] D. West. Introduction to Graph Theory , 1995 .
[25] W. Sharpe. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .
[26] G. Caldarelli,et al. Networks of equities in financial markets , 2004 .
[27] S. Ross,et al. Economic Forces and the Stock Market , 1986 .
[28] R. Coelho,et al. Sector analysis for a FTSE portfolio of stocks , 2007 .