Publicação
Reframing the S&P 500 network of stocks along the 21st century
| Resumo: | Based on a sample of 296 stocks from the S&P 500, the time-varying network structure within three distinct two-year periods since the beginning of the 21st century was analyzed. Logged first-differences of daily stock prices serve as input for a correlation based distance measure between any two of the 296 stocks. The computation of a Minimal Spanning Tree then abstracts from a complete network and allows for a topological analysis of the resulting community structure. Both the Great Recession (2007–2008) and the Global Commodity Crisis (2010–2011) reveal tendencies of enhanced community formation compared to a formerly rather randomized network structure. Nevertheless, the drivers of the resulting clustering are found not to be related to industry sector affiliation. |
|---|---|
| Autores principais: | Araújo, Tanya |
| Outros Autores: | Göbel, Maximilian |
| Assunto: | S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1866809479992967168 |
|---|---|
| author | Araújo, Tanya |
| author2 | Göbel, Maximilian |
| author2_role | author |
| author_facet | Araújo, Tanya Göbel, Maximilian |
| author_role | author |
| contributor_name_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Araújo, Tanya\"},{\"Person.name\":\"Göbel, Maximilian\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Araújo, Tanya Göbel, Maximilian |
| datacite.date.Accepted.fl_str_mv | 2019-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2023-11-20T15:15:47Z |
| datacite.date.embargoed.fl_str_mv | 2023-11-20T15:15:47Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection |
| datacite.titles.title.fl_str_mv | Reframing the S&P 500 network of stocks along the 21st century |
| dc.contributor.none.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Araújo, Tanya Göbel, Maximilian |
| dc.date.Accepted.fl_str_mv | 2019-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2023-11-20T15:15:47Z |
| dc.date.embargoed.fl_str_mv | 2023-11-20T15:15:47Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/29450 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Elsevier |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection |
| dc.title.fl_str_mv | Reframing the S&P 500 network of stocks along the 21st century |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | Based on a sample of 296 stocks from the S&P 500, the time-varying network structure within three distinct two-year periods since the beginning of the 21st century was analyzed. Logged first-differences of daily stock prices serve as input for a correlation based distance measure between any two of the 296 stocks. The computation of a Minimal Spanning Tree then abstracts from a complete network and allows for a topological analysis of the resulting community structure. Both the Great Recession (2007–2008) and the Global Commodity Crisis (2010–2011) reveal tendencies of enhanced community formation compared to a formerly rather randomized network structure. Nevertheless, the drivers of the resulting clustering are found not to be related to industry sector affiliation. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | article |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/a09090f0-400b-4f92-b64b-1ea7185dd0bf/download |
| id | ul_2cefbcc46aed5100b2edecfc956c6521 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/29450 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/29450 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Araújo, Tanya Göbel, Maximilian |
| publishDate | 2019 |
| publisher.none.fl_str_mv | Elsevier |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engElsevierpt_PTBased on a sample of 296 stocks from the S&P 500, the time-varying network structure within three distinct two-year periods since the beginning of the 21st century was analyzed. Logged first-differences of daily stock prices serve as input for a correlation based distance measure between any two of the 296 stocks. The computation of a Minimal Spanning Tree then abstracts from a complete network and allows for a topological analysis of the resulting community structure. Both the Great Recession (2007–2008) and the Global Commodity Crisis (2010–2011) reveal tendencies of enhanced community formation compared to a formerly rather randomized network structure. Nevertheless, the drivers of the resulting clustering are found not to be related to industry sector affiliation.application/pdfpt_PTReframing the S&P 500 network of stocks along the 21st centuryAraújo, TanyaGöbel, MaximilianHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.ptISSNIsPartOf0378-4371DOIIsPartOfhttps://doi.org/10.1016/j.physa.2019.1210622023-11-20T15:15:47Z20192019-01-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/29450http://purl.org/coar/access_right/c_abf2open accessS&P 500Network AnalysisMinimal Spanning TreesMinimal Spanning TreesIndustrial ClustersGreat RecessionGlobal Commodity CrisisCommunity Detection1411212 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/a09090f0-400b-4f92-b64b-1ea7185dd0bf/download |
| spellingShingle | Reframing the S&P 500 network of stocks along the 21st century Araújo, Tanya S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection |
| status | SINGLETON |
| subject.fl_str_mv | S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection |
| title | Reframing the S&P 500 network of stocks along the 21st century |
| title_full | Reframing the S&P 500 network of stocks along the 21st century |
| title_fullStr | Reframing the S&P 500 network of stocks along the 21st century |
| title_full_unstemmed | Reframing the S&P 500 network of stocks along the 21st century |
| title_short | Reframing the S&P 500 network of stocks along the 21st century |
| title_sort | Reframing the S&P 500 network of stocks along the 21st century |
| topic | S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection |
| topic_facet | S&P 500 Network Analysis Minimal Spanning Trees Minimal Spanning Trees Industrial Clusters Great Recession Global Commodity Crisis Community Detection |
| url | http://hdl.handle.net/10400.5/29450 |
| visible | 1 |