Complex networks in a stock market

@article{Lee2007ComplexNI,
  title={Complex networks in a stock market},
  author={Kyoung Eun Lee and Jae Woo Lee and Byoung Hee Hong},
  journal={Computer Physics Communications},
  year={2007},
  volume={177},
  pages={186}
}
We consider cross-correlations among stock prices in the Korean stock-market[1,2]. We use the daily Korean stock-market prices of KOSPI 200 for 4 years from January 3, 2000 to December 29, 2004. Let us define logarithmic return as ri(t) = log pi(t)− log pi(t−∆t) where pi(t) is the stock prices of a company i at a time t and ∆t is the return time. We use one day return time ∆t = 1day. The total number of stocks is N = 200. From the logarithmic return we calculate the cross correlations Cij… CONTINUE READING

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