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Price correlation 을 이용한 경제 네트워크 구성과 clustering 가능성

2003. 12. 13. SERI. Price correlation 을 이용한 경제 네트워크 구성과 clustering 가능성. Seung-Woo Son email: sonswoo@kaist.ac.kr Complex System and Statistical Physics Lab., Dept. Physics, KAIST, Taejeon 305-701, Korea. Correlation ?. Price correlation vs. Return correlation

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Price correlation 을 이용한 경제 네트워크 구성과 clustering 가능성

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  1. 2003. 12. 13. SERI Price correlation을 이용한 경제네트워크 구성과 clustering 가능성 Seung-Woo Son email: sonswoo@kaist.ac.kr Complex System and Statistical Physics Lab., Dept. Physics, KAIST, Taejeon 305-701, Korea

  2. Correlation ? • Price correlation vs. Return correlation • T/N ratio ( T: trading day, N: number of companies ) • random matrix theorem • should be significantly larger than one • Correlation matrix vs. Distance matrix

  3. Price correlation 1991 - 2003 ( 468 companies, 3431 trading days )

  4. Log return correlation 1991 - 2003 ( 468 companies, 3431 trading days )

  5. 1980 - 2003 ( 228 companies, 6648 trading days ) Price log return

  6. Correlation between two correlations 1991 - 2003 ( 468 companies, 3431 trading days )

  7. MST - Price correlation 1991 - 2003 ( 468 companies, 3431 trading days)

  8. MST - Return correlation 1991 - 2003 ( 468 companies, 3431 trading days )

  9. Time moving of return correlation NYSE105 comp. Black Monday( 1987 ) Period -1982~2000 Dong-Hee Kim

  10. 1982~1986, IBM k=24

  11. 1983~1987, GE k=34

  12. 1985~1989, GE k=27

  13. 1986~1990, GE k=25

  14. 1993~1997, MER k=16

  15. 1996~2000, GE k=23

  16. Percolation approach &Girvan-Newman cluster method 1.Building giant cluster by percolation approach After sorting Cij in descending order, add a link between i and j following that order. When all nodes make a giant cluster, stop the attachment. It means the links with values Cij> C * (percolation threshold) are valid and connected. 2.Break into several cluster by Girvan-Newman cluster method 1991 - 2003 ( 468 companies, 3431 trading days )

  17. Percolate net (all node connected condition) • 468 nodes, 85376 links • (78.13% of fully connected) bad case!! • meaningless degree distribution 1991 - 2003 ( 468 companies, 3431 trading days )

  18. Hierarchical tree – clustering • average link method • 두 cluster 사이에 평균 거리 순으로 연결 • complete link method • 두 cluster 사이에 가장 먼 거리 순으로… • single link method • 두 cluster 사이에 가장 가까운 거리 순으로… • single link method는 MST 방법과 일치

  19. 1991 - 2003 ( 468 companies, 3431 trading days ) average link method Young-Ho Eom

  20. 1991 - 2003 ( 468 companies, 3431 trading days ) complete link method Young-Ho Eom

  21. 1991 - 2003 ( 468 companies, 3431 trading days ) single link method Young-Ho Eom

  22. Conclusion

  23. 한국증시 KOSPI

  24. Detailed list of used data

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