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Hierarchies in communities of Borsa Istanbul Stock Exchange

Yıl 2018, Cilt: 47 Sayı: 4, 921 - 936, 01.08.2018

Öz

Nowadays, increase of the analyzing stock markets as complex systems lead graph theory to play key role. For instance detecting graph  communities is an important task in the analysis of stocks, and minimum spanning trees let us to get important information for the topology of the market. In this paper, we introduce a method to build a connected graph representation of Borsa Istanbul based on the spectrum. We, then, detect graph communities and internal hierarchies by using the minimum spanning trees. The results suggest that the approach is demonstrably effective for Borsa Istanbul sessionally data returns.

Kaynakça

  • Agarwal, Gaurav, and David Kempe. "Modularity-maximizing graph communities via mathematical programming." The European Physical Journal B 66.3 (2008): 409-418.
  • Arthur, W. B., Durlauf, S. N., and Lane, D. A. "The economy as an evolving complex system II." Vol. 28. Reading, MA: Addison-Wesley, 1997.
  • Bonanno, Giovanni, et al. "Topology of correlation-based minimal spanning trees in real and model markets." Physical Review E 68.4 (2003): 046130.
  • Brida, J. Gabriel, and W. Adrián Risso. "Hierarchical structure of the German stock market." Expert Systems with Applications 37.5 (2010): 3846-3852.
  • Cai, Shi-Min, et al. "Hierarchical organization and disassortative mixing of correlation-based weighted nancial networks." International Journal of Modern Physics C 21.03 (2010): 433- 441.
  • Chi, K. Tse, Jing Liu, and Francis CM Lau. "A network perspective of the stock market." Journal of Empirical Finance 17.4 (2010): 659-667.
  • Clauset, Aaron, Cristopher Moore, and Mark EJ Newman. "Hierarchical structure and the prediction of missing links in networks." Nature 453.7191 (2008): 98-101.
  • Dirac, Gabriel A., and S. Schuster. "A theorem of Kuratowski." Indagationes Mathematicae (Proceedings). Vol. 57. North-Holland, 1954.
  • Evans, Tim S. "Clique graphs and overlapping communities." Journal of Statistical Mechanics: Theory and Experiment 2010.12 (2010): P12037.
  • Everett, Martin G., and Stephen P. Borgatti. "Analyzing clique overlap." Connections 21.1 (1998): 49-61.
  • Fortunato, Santo. "Community detection in graphs." Physics Reports 486.3 (2010): 75-174.
  • Golub, Gene H., and Henk A. Van der Vorst. "Eigenvalue computation in the 20th century." Journal of Computational and Applied Mathematics 123.1 (2000): 35-65.
  • Graham, Ronald L., and Pavol Hell. "On the history of the minimum spanning tree problem." Annals of the History of Computing 7.1 (1985): 43-57.
  • Heiberger, Raphael H. "Stock network stability in times of crisis." Physica A: Statistical Mechanics and its Applications 393 (2014): 376-381.
  • Lancichinetti, Andrea, Santo Fortunato, and János Kertész. "Detecting the overlapping and hierarchical community structure in complex networks." New Journal of Physics 11.3 (2009): 033015.
  • Lü, Linyuan, and Tao Zhou. "Link prediction in complex networks: A survey." Physica A: Statistical Mechanics and its Applications 390.6 (2011): 1150-1170.
  • Mantegna, Rosario N. "Hierarchical structure in nancial markets." The European Physical Journal B-Condensed Matter and Complex Systems 11.1 (1999): 193-197.
  • Naylor, Michael J., Lawrence C. Rose, and Brendan J. Moyle. "Topology of foreign exchange markets using hierarchical structure methods." Physica A: Statistical Mechanics and its Applications 382.1 (2007): 199-208.
  • Newman, Mark EJ. "Detecting community structure in networks." The European Physical Journal B-Condensed Matter and Complex Systems 38.2 (2004): 321-330.
  • Newman, Mark EJ. "Fast algorithm for detecting community structure in networks." Physical review E 69.6 (2004): 066133.
  • Newman, Mark EJ, and Michelle Girvan. "Finding and evaluating community structure in networks." Physical review E 69.2 (2004): 026113.
  • Onnela, J-P., et al. "Dynamics of market correlations: Taxonomy and portfolio analysis." Physical Review E 68.5 (2003): 056110.
  • Onnela, J-P., et al. "Dynamic asset trees and Black Monday." Physica A: Statistical Mechanics and its Applications 324.1 (2003): 247-252.
  • Onnela, J-P., Kimmo Kaski, and Janos Kertész. "Clustering and information in correlation based nancial networks." The European Physical Journal B-Condensed Matter and Complex Systems 38.2 (2004): 353-362.
  • Onnela, Jukka-Pekka, et al. "Intensity and coherence of motifs in weighted complex networks." Physical Review E 71.6 (2005): 065103.
  • Palla, Gergely, et al. "Uncovering the overlapping community structure of complex networks in nature and society." Nature 435.7043 (2005): 814-818.
  • Radicchi, Filippo, et al. "Defining and identifying communities in networks." Proceedings of the National Academy of Sciences of the United States of America 101.9 (2004): 2658-2663.
  • Tumminello, Michele, et al. "A tool for filtering information in complex systems." Proceedings of the National Academy of Sciences of the United States of America 102.30 (2005): 10421-10426.
  • Von Luxburg, Ulrike. "A tutorial on spectral clustering." Statistics and computing 17.4 (2007): 395-416.
  • Yang, Jing, and Lian Li. "A partial correlation-based Bayesian network structure learning algorithm under SEM." Advances in Knowledge Discovery and Data Mining (2011): 63-74.
  • http://borsaistanbul.com/en/
  • http://borsaistanbul.com/data/bylaws/ISE_Stock_Market_Regulation.pdf
  • http://www.ist30.com/page/bist-30-index-components
Yıl 2018, Cilt: 47 Sayı: 4, 921 - 936, 01.08.2018

Öz

Kaynakça

  • Agarwal, Gaurav, and David Kempe. "Modularity-maximizing graph communities via mathematical programming." The European Physical Journal B 66.3 (2008): 409-418.
  • Arthur, W. B., Durlauf, S. N., and Lane, D. A. "The economy as an evolving complex system II." Vol. 28. Reading, MA: Addison-Wesley, 1997.
  • Bonanno, Giovanni, et al. "Topology of correlation-based minimal spanning trees in real and model markets." Physical Review E 68.4 (2003): 046130.
  • Brida, J. Gabriel, and W. Adrián Risso. "Hierarchical structure of the German stock market." Expert Systems with Applications 37.5 (2010): 3846-3852.
  • Cai, Shi-Min, et al. "Hierarchical organization and disassortative mixing of correlation-based weighted nancial networks." International Journal of Modern Physics C 21.03 (2010): 433- 441.
  • Chi, K. Tse, Jing Liu, and Francis CM Lau. "A network perspective of the stock market." Journal of Empirical Finance 17.4 (2010): 659-667.
  • Clauset, Aaron, Cristopher Moore, and Mark EJ Newman. "Hierarchical structure and the prediction of missing links in networks." Nature 453.7191 (2008): 98-101.
  • Dirac, Gabriel A., and S. Schuster. "A theorem of Kuratowski." Indagationes Mathematicae (Proceedings). Vol. 57. North-Holland, 1954.
  • Evans, Tim S. "Clique graphs and overlapping communities." Journal of Statistical Mechanics: Theory and Experiment 2010.12 (2010): P12037.
  • Everett, Martin G., and Stephen P. Borgatti. "Analyzing clique overlap." Connections 21.1 (1998): 49-61.
  • Fortunato, Santo. "Community detection in graphs." Physics Reports 486.3 (2010): 75-174.
  • Golub, Gene H., and Henk A. Van der Vorst. "Eigenvalue computation in the 20th century." Journal of Computational and Applied Mathematics 123.1 (2000): 35-65.
  • Graham, Ronald L., and Pavol Hell. "On the history of the minimum spanning tree problem." Annals of the History of Computing 7.1 (1985): 43-57.
  • Heiberger, Raphael H. "Stock network stability in times of crisis." Physica A: Statistical Mechanics and its Applications 393 (2014): 376-381.
  • Lancichinetti, Andrea, Santo Fortunato, and János Kertész. "Detecting the overlapping and hierarchical community structure in complex networks." New Journal of Physics 11.3 (2009): 033015.
  • Lü, Linyuan, and Tao Zhou. "Link prediction in complex networks: A survey." Physica A: Statistical Mechanics and its Applications 390.6 (2011): 1150-1170.
  • Mantegna, Rosario N. "Hierarchical structure in nancial markets." The European Physical Journal B-Condensed Matter and Complex Systems 11.1 (1999): 193-197.
  • Naylor, Michael J., Lawrence C. Rose, and Brendan J. Moyle. "Topology of foreign exchange markets using hierarchical structure methods." Physica A: Statistical Mechanics and its Applications 382.1 (2007): 199-208.
  • Newman, Mark EJ. "Detecting community structure in networks." The European Physical Journal B-Condensed Matter and Complex Systems 38.2 (2004): 321-330.
  • Newman, Mark EJ. "Fast algorithm for detecting community structure in networks." Physical review E 69.6 (2004): 066133.
  • Newman, Mark EJ, and Michelle Girvan. "Finding and evaluating community structure in networks." Physical review E 69.2 (2004): 026113.
  • Onnela, J-P., et al. "Dynamics of market correlations: Taxonomy and portfolio analysis." Physical Review E 68.5 (2003): 056110.
  • Onnela, J-P., et al. "Dynamic asset trees and Black Monday." Physica A: Statistical Mechanics and its Applications 324.1 (2003): 247-252.
  • Onnela, J-P., Kimmo Kaski, and Janos Kertész. "Clustering and information in correlation based nancial networks." The European Physical Journal B-Condensed Matter and Complex Systems 38.2 (2004): 353-362.
  • Onnela, Jukka-Pekka, et al. "Intensity and coherence of motifs in weighted complex networks." Physical Review E 71.6 (2005): 065103.
  • Palla, Gergely, et al. "Uncovering the overlapping community structure of complex networks in nature and society." Nature 435.7043 (2005): 814-818.
  • Radicchi, Filippo, et al. "Defining and identifying communities in networks." Proceedings of the National Academy of Sciences of the United States of America 101.9 (2004): 2658-2663.
  • Tumminello, Michele, et al. "A tool for filtering information in complex systems." Proceedings of the National Academy of Sciences of the United States of America 102.30 (2005): 10421-10426.
  • Von Luxburg, Ulrike. "A tutorial on spectral clustering." Statistics and computing 17.4 (2007): 395-416.
  • Yang, Jing, and Lian Li. "A partial correlation-based Bayesian network structure learning algorithm under SEM." Advances in Knowledge Discovery and Data Mining (2011): 63-74.
  • http://borsaistanbul.com/en/
  • http://borsaistanbul.com/data/bylaws/ISE_Stock_Market_Regulation.pdf
  • http://www.ist30.com/page/bist-30-index-components
Toplam 33 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Matematik
Bölüm İstatistik
Yazarlar

Mehmet Ali Balcı

Yayımlanma Tarihi 1 Ağustos 2018
Yayımlandığı Sayı Yıl 2018 Cilt: 47 Sayı: 4

Kaynak Göster

APA Balcı, M. A. (2018). Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics, 47(4), 921-936.
AMA Balcı MA. Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics. Ağustos 2018;47(4):921-936.
Chicago Balcı, Mehmet Ali. “Hierarchies in Communities of Borsa Istanbul Stock Exchange”. Hacettepe Journal of Mathematics and Statistics 47, sy. 4 (Ağustos 2018): 921-36.
EndNote Balcı MA (01 Ağustos 2018) Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics 47 4 921–936.
IEEE M. A. Balcı, “Hierarchies in communities of Borsa Istanbul Stock Exchange”, Hacettepe Journal of Mathematics and Statistics, c. 47, sy. 4, ss. 921–936, 2018.
ISNAD Balcı, Mehmet Ali. “Hierarchies in Communities of Borsa Istanbul Stock Exchange”. Hacettepe Journal of Mathematics and Statistics 47/4 (Ağustos 2018), 921-936.
JAMA Balcı MA. Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics. 2018;47:921–936.
MLA Balcı, Mehmet Ali. “Hierarchies in Communities of Borsa Istanbul Stock Exchange”. Hacettepe Journal of Mathematics and Statistics, c. 47, sy. 4, 2018, ss. 921-36.
Vancouver Balcı MA. Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics. 2018;47(4):921-36.