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@inproceedings{991892, author = {Cupal, Martin and Deev, Oleg and Linnertová, Dagmar}, address = {Karviná}, booktitle = {Proceedings of the 30th International Conference Mathematical Methods in Economics}, editor = {Ramík, J. and Stavárek, D.}, keywords = {stock markets; cross-correlation networks; network topology}, howpublished = {tištěná verze "print"}, language = {eng}, location = {Karviná}, isbn = {978-80-7248-779-0}, pages = {79-84}, publisher = {Silesian University, School of Business Administration}, title = {Network structures of the European stock market}, url = {http://mme2012.opf.slu.cz/proceedings/pdf/014_Cupal.pdf}, year = {2012} }
TY - JOUR ID - 991892 AU - Cupal, Martin - Deev, Oleg - Linnertová, Dagmar PY - 2012 TI - Network structures of the European stock market PB - Silesian University, School of Business Administration CY - Karviná SN - 9788072487790 KW - stock markets KW - cross-correlation networks KW - network topology UR - http://mme2012.opf.slu.cz/proceedings/pdf/014_Cupal.pdf L2 - http://mme2012.opf.slu.cz/proceedings/pdf/014_Cupal.pdf N2 - The paper examines changing topological characteristics of correlation-based network of European stock markets on both national and supranational levels. First, the problem of how to correctly build a representative correlation-based procedure and choose a specific filtering procedure for identifying the strongest links is addressed. Then, network structures are investigated on several datasets, for which the data of different time intervals and varying frequency are assembled. On a national level, core stem of stock markets of highly developed countries is found to be stable over time with French market playing the central role. On the supranational level, stocks are clustered based on their economic sector, rather than country’s origin. Network modeling of a stock market proves to be highly useful and powerful tool, since network formulation could give much insight and understanding on mutual dependence of stocks’ behavior by simply examining graphic representation of the market. ER -
CUPAL, Martin, Oleg DEEV and Dagmar LINNERTOVÁ. Network structures of the European stock market. In Ramík, J. and Stavárek, D. \textit{Proceedings of the 30th International Conference Mathematical Methods in Economics}. Karviná: Silesian University, School of Business Administration, 2012, p.~79-84. ISBN~978-80-7248-779-0.
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