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Contagion pattern identification through minimum spanning trees during the Asian financial crisis

Marica, Vasile-George - In: Financial studies 23 (2019) 2, pp. 76-96

Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can...

Persistent link: https://www.econbiz.de/10012037392

Portfolio creation using graph characteristics and testing its performance

Danko, Jakub; Soltes, Vincent; Bindzar, Tomas - In: Montenegrin journal of economics 18 (2022) 1, pp. 7-17

Persistent link: https://www.econbiz.de/10013204437

Portfolio optimization using minimum spanning tree model in the Moroccan stock exchange market

Berouaga, Younes; El Msiyah, Cherif; Madkour, Jaouad - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-20

Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investigate portfolio optimization based on the...

Persistent link: https://www.econbiz.de/10014284712

Network analysis of an Indian stock market using the minimum spanning tree algorithm

Singhal, Prakhar; Sinha, Surajit - In: Journal of quantitative economics : official journal of … 12 (2014) 2, pp. 44-59

Persistent link: https://www.econbiz.de/10011504431

Portfolio creation using graph characteristics

Danko, Jakub; Soltes, Vincent - In: Investment management and financial innovations 15 (2018) 1, pp. 180-189

Persistent link: https://www.econbiz.de/10012002794

Multiscale correlation networks analysis of the US stock market : a wavelet analysis

Wang, Gang-Jin; Chi, Xie; Chen, Shou - In: Journal of economic interaction and coordination : JEIC 12 (2017) 3, pp. 561-594

Persistent link: https://www.econbiz.de/10011878725

A new approach for the multiobjective minimum spanning tree

Santos, J. L.; Di Puglia Pugliese, Luigi; Guerriero, … - In: Computers & operations research : and their … 98 (2018), pp. 69-83

Persistent link: https://www.econbiz.de/10011886761

Correlation structure and evolution of world stock markets : evidence from Pearson and partial correlation-based networks

Wang, Gang-Jin; Chi, Xie; Stanley, H. Eugene - In: Computational economics 51 (2018) 3, pp. 607-635

Persistent link: https://www.econbiz.de/10011963715

Critical edges/nodes for the minimum spanning tree problem: complexity and approximation

Bazgan, Cristina; Toubaline, Sonia; Vanderpooten, Daniel - In: Journal of combinatorial optimization 26 (2013) 1, pp. 178-189

Persistent link: https://www.econbiz.de/10009757241

Identifying reference companies using the book-to-market ratio : a minimum spanning tree approach

Brookfield, David; Boussabaine, Halim; Su, Chen - In: The European journal of finance 19 (2013) 5/6, pp. 466-490

Persistent link: https://www.econbiz.de/10010243600

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