Analysis of Tehran Stock Exchange by Complex Network based on Threshold method
Analyzing the stock market via different methods is an essential component for forecasting the future events. One of the most recent methods for this analysis is the Complex Network notion. Complex Network is a new concept in quantitative science in order to have a complete look on the market. This...
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| Format: | Article |
| Language: | fas |
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University of Tehran
2010-12-01
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| Series: | بررسی‌های حسابداری و حسابرسی |
| Subjects: | |
| Online Access: | https://acctgrev.ut.ac.ir/article_22517_a0b516a652c18e999ea0206b78841270.pdf |
| _version_ | 1811314753952284672 |
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| author | Reza Raei Gholam-Reza Jafari Ali Namaki |
| author_facet | Reza Raei Gholam-Reza Jafari Ali Namaki |
| author_sort | Reza Raei |
| collection | DOAJ |
| description | Analyzing the stock market via different methods is an essential component for forecasting the future events. One of the most recent methods for this analysis is the Complex Network notion. Complex Network is a new concept in quantitative science in order to have a complete look on the market. This method is useful for both scientific and practical purposes such as assets allocation and portfolio risk management. This is based on modeling the price fluctuations of stocks and the effects of them on each other. In this article, in order to constructing the network of Tehran Stock market, the threshold method is used. The most noticeable points are the appearance of high systemic risk in thresholds that are nearby the mean of correlation coefficients and increasing the component number in the stock correlation network. This analysis shows that Tehran Stock market is a Scale-free network in a specific threshold interval and it obeys a Power Law distribution. So this network is composed of small quantity of Hubs (vertices with large degree) and large quantity of vertices with small degree. This matter would be useful for portfolio risk management. |
| first_indexed | 2024-04-13T11:16:56Z |
| format | Article |
| id | doaj.art-be0fa5ac7a914f679d7e529427c0ad28 |
| institution | Directory Open Access Journal |
| issn | 2645-8020 2645-8039 |
| language | fas |
| last_indexed | 2024-04-13T11:16:56Z |
| publishDate | 2010-12-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | بررسی‌های حسابداری و حسابرسی |
| spelling | doaj.art-be0fa5ac7a914f679d7e529427c0ad282022-12-22T02:48:56ZfasUniversity of Tehranبررسی‌های حسابداری و حسابرسی2645-80202645-80392010-12-01174338022517Analysis of Tehran Stock Exchange by Complex Network based on Threshold methodReza Raei0Gholam-Reza Jafari1Ali Namaki2دانشیار دانشکده مدیریت دانشگاه تهران، ایراناستادیار دانشکده علوم پایه دانشگاه شهید بهشتی، ایراندانشجوی MBA گرایش مالی دانشکده مدیریت دانشگاه تهران، ایرانAnalyzing the stock market via different methods is an essential component for forecasting the future events. One of the most recent methods for this analysis is the Complex Network notion. Complex Network is a new concept in quantitative science in order to have a complete look on the market. This method is useful for both scientific and practical purposes such as assets allocation and portfolio risk management. This is based on modeling the price fluctuations of stocks and the effects of them on each other. In this article, in order to constructing the network of Tehran Stock market, the threshold method is used. The most noticeable points are the appearance of high systemic risk in thresholds that are nearby the mean of correlation coefficients and increasing the component number in the stock correlation network. This analysis shows that Tehran Stock market is a Scale-free network in a specific threshold interval and it obeys a Power Law distribution. So this network is composed of small quantity of Hubs (vertices with large degree) and large quantity of vertices with small degree. This matter would be useful for portfolio risk management.https://acctgrev.ut.ac.ir/article_22517_a0b516a652c18e999ea0206b78841270.pdfClustering coefficientScale-freeStock networkSystemic RiskThreshold. |
| spellingShingle | Reza Raei Gholam-Reza Jafari Ali Namaki Analysis of Tehran Stock Exchange by Complex Network based on Threshold method بررسی‌های حسابداری و حسابرسی Clustering coefficient Scale-free Stock network Systemic Risk Threshold. |
| title | Analysis of Tehran Stock Exchange by Complex Network based on Threshold method |
| title_full | Analysis of Tehran Stock Exchange by Complex Network based on Threshold method |
| title_fullStr | Analysis of Tehran Stock Exchange by Complex Network based on Threshold method |
| title_full_unstemmed | Analysis of Tehran Stock Exchange by Complex Network based on Threshold method |
| title_short | Analysis of Tehran Stock Exchange by Complex Network based on Threshold method |
| title_sort | analysis of tehran stock exchange by complex network based on threshold method |
| topic | Clustering coefficient Scale-free Stock network Systemic Risk Threshold. |
| url | https://acctgrev.ut.ac.ir/article_22517_a0b516a652c18e999ea0206b78841270.pdf |
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