基于相关性的不同时间段股票收益率抽样网络
Correlation based networks of equity returns sampled at different time horizons
摘要：
我们研究了2001-2003年期间在纽约证券交易所交易的300只最具资本化的股票的投资组合的平面最大过滤图。拓扑性质，如最短路径的平均长度，介数和程度计算不同的平面最大过滤图通过采样的回报率在不同的时间范围从5分钟到一个交易日。这一分析证实，所选择的股票构成一个层次系统逐步结构的抽样时间范围增加。最后，定量研究了与经济部门相关的团簇形成。
英文摘要：
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
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