摘要翻译:
我们使用股票收益的相关矩阵来创建巴西主要证券交易所圣保罗证券交易所(BM&F-Bovespa)的地图。数据回放到2010年,股票收益之间的相关性导致了最小生成树和具有各种阈值的资产图的构建。利用网络理论的技术对结果进行了类比。
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英文标题:
《A Map of the Brazilian Stock Market》
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作者:
Leonidas Sandoval Junior
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最新提交年份:
2013
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
We use the correlation matrix of stocks returns in order to create maps of the S\~ao Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analised using techniques of network theory.
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PDF链接:
https://arxiv.org/pdf/1107.4146