Multiscale correlation networks analysis of the US stock market: a wavelet analysis

Multiscale correlation networks analysis of the US stock market: a wavelet analysis We investigate the interaction among stocks in the US market over various time horizons from a network perspective. Unlike the high-frequency data-driven multiscale correlation networks used in previous works, we propose method-driven multiscale correlation networks that are constructed by wavelet analysis and topological methods of minimum spanning tree (MST) and planar maximally filtered graph (PMFG). Using these techniques, we construct MST and PMFG networks of the US stock market at different time scales. The key empirical results show that (1) the topological structures and properties of networks vary across time horizons, (2) there is a sectoral clustering effect in the networks at small time scales, and (3) only a part of connections in the networks survives from one time scale to the next. Our results in terms of MSTs and PMFGs for different time scales supply a new perspective for participants in financial markets, especially for investors or hedgers who have different investment or hedging horizons. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Interaction and Coordination Springer Journals

Multiscale correlation networks analysis of the US stock market: a wavelet analysis

Loading next page...
 
/lp/springer_journal/multiscale-correlation-networks-analysis-of-the-us-stock-market-a-zS9iO4oKlW
Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2016 by Springer-Verlag Berlin Heidelberg
Subject
Economics; Economic Theory/Quantitative Economics/Mathematical Methods; Computer Appl. in Social and Behavioral Sciences; Theoretical, Mathematical and Computational Physics; Finance, general
ISSN
1860-711X
eISSN
1860-7128
D.O.I.
10.1007/s11403-016-0176-x
Publisher site
See Article on Publisher Site

Abstract

We investigate the interaction among stocks in the US market over various time horizons from a network perspective. Unlike the high-frequency data-driven multiscale correlation networks used in previous works, we propose method-driven multiscale correlation networks that are constructed by wavelet analysis and topological methods of minimum spanning tree (MST) and planar maximally filtered graph (PMFG). Using these techniques, we construct MST and PMFG networks of the US stock market at different time scales. The key empirical results show that (1) the topological structures and properties of networks vary across time horizons, (2) there is a sectoral clustering effect in the networks at small time scales, and (3) only a part of connections in the networks survives from one time scale to the next. Our results in terms of MSTs and PMFGs for different time scales supply a new perspective for participants in financial markets, especially for investors or hedgers who have different investment or hedging horizons.

Journal

Journal of Economic Interaction and CoordinationSpringer Journals

Published: Aug 23, 2016

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off