Hierarchies in communities of Borsa Istanbul Stock Exchange
Yıl: 2018 Cilt: 47 Sayı: 4 Sayfa Aralığı: 921 - 936 Metin Dili: İngilizce DOI: 10.15672/HJMS.201614520777 İndeks Tarihi: 13-05-2019
Hierarchies in communities of Borsa Istanbul Stock Exchange
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 eective for Borsa Istanbul sessionally data returns.
Anahtar Kelime: Konular:
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
- Agarwal, Gaurav, and David Kempe. "Modularity-maximizing graph communities via math-ematical 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. Adri·n Risso. "Hierarchical structure of the German stock mar-ket." 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 Mechan-ics: 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 prob-lem." 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 J·nos KertÈsz. "Detecting the overlapping and hierarchical community structure in complex networks." New Journal of Physics 11.3 (2009): 033015.
- L¸, 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." Phys-ical 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 Me- chanics and its Applications 324.1 (2003): 247-252.
- Onnela, J-P., Kimmo Kaski, and Janos KertÈsz. "Clustering and information in correla-tion 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 net-works." 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. "De ning 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 ltering information in complex systems." Proceed-ings 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
| APA | BALCI M (2018). Hierarchies in communities of Borsa Istanbul Stock Exchange. , 921 - 936. 10.15672/HJMS.201614520777 |
| Chicago | BALCI MEHMET ALİ Hierarchies in communities of Borsa Istanbul Stock Exchange. (2018): 921 - 936. 10.15672/HJMS.201614520777 |
| MLA | BALCI MEHMET ALİ Hierarchies in communities of Borsa Istanbul Stock Exchange. , 2018, ss.921 - 936. 10.15672/HJMS.201614520777 |
| AMA | BALCI M Hierarchies in communities of Borsa Istanbul Stock Exchange. . 2018; 921 - 936. 10.15672/HJMS.201614520777 |
| Vancouver | BALCI M Hierarchies in communities of Borsa Istanbul Stock Exchange. . 2018; 921 - 936. 10.15672/HJMS.201614520777 |
| IEEE | BALCI M "Hierarchies in communities of Borsa Istanbul Stock Exchange." , ss.921 - 936, 2018. 10.15672/HJMS.201614520777 |
| ISNAD | BALCI, MEHMET ALİ. "Hierarchies in communities of Borsa Istanbul Stock Exchange". (2018), 921-936. https://doi.org/10.15672/HJMS.201614520777 |
| APA | BALCI M (2018). Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics, 47(4), 921 - 936. 10.15672/HJMS.201614520777 |
| Chicago | BALCI MEHMET ALİ Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics 47, no.4 (2018): 921 - 936. 10.15672/HJMS.201614520777 |
| MLA | BALCI MEHMET ALİ Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics, vol.47, no.4, 2018, ss.921 - 936. 10.15672/HJMS.201614520777 |
| AMA | BALCI M Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics. 2018; 47(4): 921 - 936. 10.15672/HJMS.201614520777 |
| Vancouver | BALCI M Hierarchies in communities of Borsa Istanbul Stock Exchange. Hacettepe Journal of Mathematics and Statistics. 2018; 47(4): 921 - 936. 10.15672/HJMS.201614520777 |
| IEEE | BALCI M "Hierarchies in communities of Borsa Istanbul Stock Exchange." Hacettepe Journal of Mathematics and Statistics, 47, ss.921 - 936, 2018. 10.15672/HJMS.201614520777 |
| ISNAD | BALCI, MEHMET ALİ. "Hierarchies in communities of Borsa Istanbul Stock Exchange". Hacettepe Journal of Mathematics and Statistics 47/4 (2018), 921-936. https://doi.org/10.15672/HJMS.201614520777 |
