Year 2017, Volume 5, Issue 1, Pages 163 - 169 2017-06-30

Yeni Bir Nicel Yaklaşımının Hisse Senedi Piyasalarına Uygulanması: Minimum Geren Ağaç
Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree

Veysel Fuat Hatipoğlu [1]

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Gıda ağları, bilimsel atıflar, sosyal ağlar, iletişim ağları, internet ve etkileşen hisse senedi portföyleri gibi birbiriyle etkileşen bileşenleri içeren sistemler, karmaşık sistemler kavramı altında pek çok araştırmacı tarafından çalışılmıştır. Bu tür sistemler ağırlıklı ağlar ile ifade edilir. Yoğun ağlar ve dolaşık ilişkiler, bileşenler üzerine tahmin yapma veya risk analizi için önemli role sahiptir. Bu çalışmada sanayi sektörü hisseleri üzerinden küresel borsaların hiyerarşik yapısını elde etmek için yeni bir metot sunuyoruz. Borsa ağını minimum geren ağaçtan çıkarılan alt baskın ultrametrik topolojiyi kullanarak, karmaşık sistemlerin önemli özelliklerini çıkarmak mümkündür. Ek olarak sınıflandırma yapmak ve ele alınan sanayi sektörlerine ait zaman serileri arasındaki benzerliği ölçebilmek için dinamik zaman bükmesi uzaklığını kullandık. Sonuçta Amerika Birleşik Devletleri, İngiltere, Hollanda ve Danimarka borsalarının sanayi sektörü hisse senetleri açısından incelenenler arasında en baskın borsalar oldukları bulunmuştur. Ayrıca hiyerarşik üç küme bulduk ve bu kümelerin yapısını topolojik olarak inceledik.
The systems involving interacting agents such as food networks, scientific citations, social networks, communication networks, the Internet, and the companies interacting in stock portfolios have long been studied by many researchers under the concept of complex systems. Such systems are expressed in terms of weighted networks. The dense connections and entwined relations amongst the agents play important roles for forecasting or risk analysis. In this study we present a novel approach to determine hierarchical structure of Industrial sector in the globally operating stock market network. By using the subdominant ultra-metric topology emerge from the minimum spanning tree of the stock market network; it becomes possible to extract the important properties of this complex system. Moreover, we use the dynamic time warping distance to determine the taxonomy and to measure similarity between time series of the operating Industrial sectors. It is found that United States, United Kingdom, Netherlands and Denmark are the most dominant stock exchanges in Industrials sector. We also find three hierarchical clusters and then topologically analyze the structure of considered clusters.
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Subjects Social
Journal Section Articles
Authors

Author: Veysel Fuat Hatipoğlu
Institution: MUĞLA SITKI KOÇMAN ÜNİVERSİTESİ

Bibtex @research article { alphanumeric323988, journal = {Alphanumeric Journal}, issn = {}, eissn = {2148-2225}, address = {Bahadır Fatih YILDIRIM}, year = {2017}, volume = {5}, pages = {163 - 169}, doi = {10.17093/alphanumeric.323988}, title = {Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree}, key = {cite}, author = {Hatipoğlu, Veysel Fuat} }
APA Hatipoğlu, V . (2017). Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. Alphanumeric Journal, 5 (1), 163-169. DOI: 10.17093/alphanumeric.323988
MLA Hatipoğlu, V . "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree". Alphanumeric Journal 5 (2017): 163-169 <http://dergipark.org.tr/alphanumeric/issue/26687/323988>
Chicago Hatipoğlu, V . "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree". Alphanumeric Journal 5 (2017): 163-169
RIS TY - JOUR T1 - Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree AU - Veysel Fuat Hatipoğlu Y1 - 2017 PY - 2017 N1 - doi: 10.17093/alphanumeric.323988 DO - 10.17093/alphanumeric.323988 T2 - Alphanumeric Journal JF - Journal JO - JOR SP - 163 EP - 169 VL - 5 IS - 1 SN - -2148-2225 M3 - doi: 10.17093/alphanumeric.323988 UR - https://doi.org/10.17093/alphanumeric.323988 Y2 - 2019 ER -
EndNote %0 Alphanumeric Journal Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree %A Veysel Fuat Hatipoğlu %T Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree %D 2017 %J Alphanumeric Journal %P -2148-2225 %V 5 %N 1 %R doi: 10.17093/alphanumeric.323988 %U 10.17093/alphanumeric.323988
ISNAD Hatipoğlu, Veysel Fuat . "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree". Alphanumeric Journal 5 / 1 (June 2017): 163-169. https://doi.org/10.17093/alphanumeric.323988