The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market
Complex financial systems are the subject of current research interest. The notion of complex network is used for understanding the value migration process. Based on the stock data of 498 companies listed in the S&P500, the value migration network has been constructed using the MST-Pathfinder fi...
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| Format: | Article |
| Language: | English |
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Public Library of Science (PLoS)
2022-01-01
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| Series: | PLoS ONE |
| Online Access: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9624434/?tool=EBI |
| _version_ | 1811333763765895168 |
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| author | Dariusz Siudak |
| author_facet | Dariusz Siudak |
| author_sort | Dariusz Siudak |
| collection | DOAJ |
| description | Complex financial systems are the subject of current research interest. The notion of complex network is used for understanding the value migration process. Based on the stock data of 498 companies listed in the S&P500, the value migration network has been constructed using the MST-Pathfinder filtering network approach. The analysis covered 471 companies included in the largest component of VMN. Three methods: (i) complex networks; (ii) artificial neural networks and (iii) MARS regression, are developed to determine the effect of network centrality measures and rate of return on shares. A network-based data mining analysis has revealed that the topological position in the value migration network has a pronounced impact on the stock’s returns. |
| first_indexed | 2024-04-13T16:57:49Z |
| format | Article |
| id | doaj.art-7d48c86d9d2f4bf1b2e86563d023a587 |
| institution | Directory Open Access Journal |
| issn | 1932-6203 |
| language | English |
| last_indexed | 2024-04-13T16:57:49Z |
| publishDate | 2022-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj.art-7d48c86d9d2f4bf1b2e86563d023a5872022-12-22T02:38:46ZengPublic Library of Science (PLoS)PLoS ONE1932-62032022-01-011711The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US marketDariusz SiudakComplex financial systems are the subject of current research interest. The notion of complex network is used for understanding the value migration process. Based on the stock data of 498 companies listed in the S&P500, the value migration network has been constructed using the MST-Pathfinder filtering network approach. The analysis covered 471 companies included in the largest component of VMN. Three methods: (i) complex networks; (ii) artificial neural networks and (iii) MARS regression, are developed to determine the effect of network centrality measures and rate of return on shares. A network-based data mining analysis has revealed that the topological position in the value migration network has a pronounced impact on the stock’s returns.https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9624434/?tool=EBI |
| spellingShingle | Dariusz Siudak The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market PLoS ONE |
| title | The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market |
| title_full | The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market |
| title_fullStr | The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market |
| title_full_unstemmed | The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market |
| title_short | The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market |
| title_sort | effect of self organizing map architecture based on the value migration network centrality measures on stock return evidence from the us market |
| url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9624434/?tool=EBI |
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