Multidimensional stock network analysis: an escoufier's RV coefficient approach
The current practice of stocks network analysis is based on the assumption that the time series of closed stock price could represent the behaviour of the each stock. This assumption leads to consider minimal spanning tree (MST) and sub-dominant ultrametric (SDU) as an indispensible tool to filter t...
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Main Authors: | Lee, G. S., Djauhari, M. A. |
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Format: | Conference or Workshop Item |
Published: |
2013
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Subjects: | |
Online Access: | http://eprints.utm.my/id/eprint/51186/ http://dx.doi.org/10.1063/1.4823975 |
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