Shirokikh, Oleg; Pastukhov, Grigory; Boginski, Vladimir; … - In: Computational Management Science 10 (2013) 2, pp. 81-103
This paper presents a computational study of global characteristics of the US stock market using a network-based model referred to as the market graph. The market graph reflects similarity patterns between stock return fluctuations via linking pairs of stocks that exhibit “coordinated”...