Uncovering dynamic stock return correlations with multilayer network analysis
Abstract We apply recent innovations in network science to analyze how correlations of stock returns evolve over time. To illustrate these techniques we study the returns of 30 industry stock portfolios from 1927 to 2014. We calculate Pearson correlation matrices for each year, and apply multilayer...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-06-01
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| Series: | Applied Network Science |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1007/s41109-019-0132-5 |