A robust filter in stock networks analysis
We show that the use of a minimal spanning tree (MST) to filter important information in a complex system is not robust except when the system contains a unique MST. In this paper we propose to use the forest of all MSTs as a robust filter. According to this filter, centrality measures are also robu...
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2012
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my.utm.465292017-09-12T07:41:13Z http://eprints.utm.my/id/eprint/46529/ A robust filter in stock networks analysis Djauhari, Maman Abdurachman QC Physics We show that the use of a minimal spanning tree (MST) to filter important information in a complex system is not robust except when the system contains a unique MST. In this paper we propose to use the forest of all MSTs as a robust filter. According to this filter, centrality measures are also robust. For that purpose an algorithm, which can also be used to detect the uniqueness of an MST, will be provided. A simple hypothetical example will clarify the construction of the proposed filter and a real problem in filtering the information contained in NYSE 100 stocks will illustrate its advantages compared to the MST-based filter 2012 Article PeerReviewed Djauhari, Maman Abdurachman (2012) A robust filter in stock networks analysis. Physica A: Statistical Mechanics and its Applications, 391 . pp. 5049-5057. ISSN 0378-4271 https://dx.doi.org/10.1016/j.physa.2012.05.060 |
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QC Physics Djauhari, Maman Abdurachman A robust filter in stock networks analysis |
| description |
We show that the use of a minimal spanning tree (MST) to filter important information in a complex system is not robust except when the system contains a unique MST. In this paper we propose to use the forest of all MSTs as a robust filter. According to this filter, centrality measures are also robust. For that purpose an algorithm, which can also be used to detect the uniqueness of an MST, will be provided. A simple hypothetical example will clarify the construction of the proposed filter and a real problem in filtering the information contained in NYSE 100 stocks will illustrate its advantages compared to the MST-based filter |
| format |
Article |
| author |
Djauhari, Maman Abdurachman |
| author_facet |
Djauhari, Maman Abdurachman |
| author_sort |
Djauhari, Maman Abdurachman |
| title |
A robust filter in stock networks analysis |
| title_short |
A robust filter in stock networks analysis |
| title_full |
A robust filter in stock networks analysis |
| title_fullStr |
A robust filter in stock networks analysis |
| title_full_unstemmed |
A robust filter in stock networks analysis |
| title_sort |
robust filter in stock networks analysis |
| publishDate |
2012 |
| url |
http://eprints.utm.my/id/eprint/46529/ https://dx.doi.org/10.1016/j.physa.2012.05.060 |
| _version_ |
1643652061928095744 |
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13.250345 |