• ISSN: 2148-2225 (online)

Ulaştırma ve Lojistik Kongreleri

alphanumeric journal

The Journal of Operations Research, Statistics, Econometrics and Management Information Systems

Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree


Veysel Fuat Hatipoğlu, Ph.D.


Abstract

The systems involving interacting agents such as food networks, scientific citations, social networks, communication networks, the Internet, and the companies interacting in stock portfolios have long been studied by many researchers under the concept of complex systems. Such systems are expressed in terms of weighted networks. The dense connections and entwined relations amongst the agents play important roles for forecasting or risk analysis. In this study we present a novel approach to determine hierarchical structure of Industrial sector in the globally operating stock market network. By using the subdominant ultra-metric topology emerge from the minimum spanning tree of the stock market network; it becomes possible to extract the important properties of this complex system. Moreover, we use the dynamic time warping distance to determine the taxonomy and to measure similarity between time series of the operating Industrial sectors. It is found that United States, United Kingdom, Netherlands and Denmark are the most dominant stock exchanges in Industrials sector. We also find three hierarchical clusters and then topologically analyze the structure of considered clusters.

Keywords: Dynamic Time Warping, Hierarchical Clustering, Minimum Spanning Tree, Stock Exchanges, Topology Evolution

Jel Classification: C38, C63

Yeni Bir Nicel Yaklaşımının Hisse Senedi Piyasalarına Uygulanması: Minimum Geren Ağaç


Öz

Gıda ağları, bilimsel atıflar, sosyal ağlar, iletişim ağları, internet ve etkileşen hisse senedi portföyleri gibi birbiriyle etkileşen bileşenleri içeren sistemler, karmaşık sistemler kavramı altında pek çok araştırmacı tarafından çalışılmıştır. Bu tür sistemler ağırlıklı ağlar ile ifade edilir. Yoğun ağlar ve dolaşık ilişkiler, bileşenler üzerine tahmin yapma veya risk analizi için önemli role sahiptir. Bu çalışmada sanayi sektörü hisseleri üzerinden küresel borsaların hiyerarşik yapısını elde etmek için yeni bir metot sunuyoruz. Borsa ağını minimum geren ağaçtan çıkarılan alt baskın ultrametrik topolojiyi kullanarak, karmaşık sistemlerin önemli özelliklerini çıkarmak mümkündür. Ek olarak sınıflandırma yapmak ve ele alınan sanayi sektörlerine ait zaman serileri arasındaki benzerliği ölçebilmek için dinamik zaman bükmesi uzaklığını kullandık. Sonuçta Amerika Birleşik Devletleri, İngiltere, Hollanda ve Danimarka borsalarının sanayi sektörü hisse senetleri açısından incelenenler arasında en baskın borsalar oldukları bulunmuştur. Ayrıca hiyerarşik üç küme bulduk ve bu kümelerin yapısını topolojik olarak inceledik.

Anahtar Kelimeler: Borsalar, Dinamik Zaman Bükmesi, Hiyerarşik Kümeleme, Minimum Geren Ağaç, Topolojik Evrilme


Cite this article

Hatipoğlu, VF. (2016). Application of a New Quantitative Approach to Stock Markets: Minimum Spanning Tree. Alphanumeric Journal, 5(1), 163-169. http://dx.doi.org/10.17093/alphanumeric.323988

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Volume 5, Issue 1, 2017

2017.05.01.MIS.02

alphanumeric journal

Volume 5, Issue 1, 2017

Pages 163-169

Received: Nov. 15, 2016

Accepted: April 17, 2016

Published: June 30, 2016

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