论文标题
监视股票回报的动态网络
Monitoring the Dynamic Networks of Stock Returns
论文作者
论文摘要
在本文中，我们研究了瑞典资本市场上两家公司之间的联系。我们考虑确定市场指数OMX30的28家公司。市场的网络结构是使用不同方法来确定公司之间距离的。我们使用分层聚类方法来找到每个窗口中的公司之间的关系。接下来，我们获得了一维时间序列的群集树之间的距离，这些距离反映了随着时间的推移，市场公司之间关系的变化。统计过程控制的方法，即Shewhart控制图，应用于那些时间序列，以检测金融市场的异常变化。
In this paper, we study the connection between the companies in the Swedish capital market. We consider 28 companies included in the determination of the market index OMX30. The network structure of the market is constructed using different methods to determine the distance between the companies. We use hierarchical clustering methods to find the relation among the companies in each window. Next, we obtain one-dimensional time series of the distances between the clustering trees that reflect the changes in the relationship between the companies in the market over time. The method of statistical process control, namely the Shewhart control chart, is applied to those time series to detect abnormal changes in the financial market.
