Influence of the Time Scale on the Construction of Financial Networks

@inproceedings{EmmertStreib2010InfluenceOT,
  title={Influence of the Time Scale on the Construction of Financial Networks},
  author={Frank Emmert-Streib and Matthias Dehmer},
  booktitle={PloS one},
  year={2010}
}
BACKGROUND In this paper we investigate the definition and formation of financial networks. Specifically, we study the influence of the time scale on their construction. METHODOLOGY/PRINCIPAL FINDINGS For our analysis we use correlation-based networks obtained from the daily closing prices of stock market data. More precisely, we use the stocks that currently comprise the Dow Jones Industrial Average (DJIA) and estimate financial networks where nodes correspond to stocks and edges correspond… CONTINUE READING
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