Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree

Yıl: 2017 Cilt: 5 Sayı: 1 Sayfa Aralığı: 163 - 169 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree

Öz:
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.
Anahtar Kelime:

Konular: İşletme İktisat İstatistik ve Olasılık

Yeni Bir Nicel Yaklaşımının Hisse Senedi Piyasalarına Uygulanması: Minimum Geren Ağaç

Öz:
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.
Anahtar Kelime:

Konular: İşletme İktisat İstatistik ve Olasılık
Belge Türü: Makale Makale Türü: Derleme Erişim Türü: Erişime Açık
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APA Hatipoğlu V (2017). Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. , 163 - 169.
Chicago Hatipoğlu Veysel Fuat Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. (2017): 163 - 169.
MLA Hatipoğlu Veysel Fuat Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. , 2017, ss.163 - 169.
AMA Hatipoğlu V Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. . 2017; 163 - 169.
Vancouver Hatipoğlu V Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. . 2017; 163 - 169.
IEEE Hatipoğlu V "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree." , ss.163 - 169, 2017.
ISNAD Hatipoğlu, Veysel Fuat. "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree". (2017), 163-169.
APA Hatipoğlu V (2017). Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. Alphanumeric Journal, 5(1), 163 - 169.
Chicago Hatipoğlu Veysel Fuat Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. Alphanumeric Journal 5, no.1 (2017): 163 - 169.
MLA Hatipoğlu Veysel Fuat Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. Alphanumeric Journal, vol.5, no.1, 2017, ss.163 - 169.
AMA Hatipoğlu V Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. Alphanumeric Journal. 2017; 5(1): 163 - 169.
Vancouver Hatipoğlu V Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. Alphanumeric Journal. 2017; 5(1): 163 - 169.
IEEE Hatipoğlu V "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree." Alphanumeric Journal, 5, ss.163 - 169, 2017.
ISNAD Hatipoğlu, Veysel Fuat. "Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree". Alphanumeric Journal 5/1 (2017), 163-169.