PL EN


Preferences help
enabled [disable] Abstract
Number of results
2014 | 126 | 6 | 1322-1326
Article title

Revealing Ownership Structure of Funds Using Minimum Spanning Tree

Content
Title variants
Languages of publication
EN
Abstracts
EN
The traditional method of analysing a time series of stocks and funds is to use simple Pearson correlations. However, experience shows that cross-correlations are not an accurate indicator of the mutual ownership relations. We show that the minimum spanning tree methodology, previously used to perform more comprehensive studies of asset returns correlations, can be used to deduce the underlying ownership structure with reasonable accuracy. We also show that adjusting the time series for a common trend of stocks and subsequent filtering of the short term variations of returns using the ARIMA model is a prerequisite for this application of the minimum spanning tree.
Keywords
EN
Year
Volume
126
Issue
6
Pages
1322-1326
Physical description
Dates
published
2014-12
received
2013-04-03
(unknown)
2014-04-02
References
  • [1] R.N. Mantegna, Europ. Phys. J. B 11, 193 (1999), doi: 10.1007/s100510050929
  • [2] G. Bonanno, G. Caldarelli, F. Lillo, R.N. Mantegna, Phys. Rev. E 68, 046130 (2003), doi: 10.1103/PhysRevE.68.046130
  • [3] J.P. Onnela, A. Chakraborti, K. Kaski, J. Kertész, A. Kanto, Phys. Scr. T106, 48 (2003), doi: 10.1238/Physica.Topical.106a00048
  • [4] S. Micciché, G. Bonanno, F. Lillo, R.N. Mantegna, Physica A 324, 66 (2003), doi: 10.1016/S0378-4371(03)00002-5
  • [5] W.Q. Huang, X.T. Zhuang, S. Yao, Physica A 388, 2956 (2009), doi: 10.1016/j.physa.2009.03.028
  • [6] Ch.K. Tse, J. Liu, F.C.M. Lau, J. Empir. Fin. 17, 659 (2010), doi: 10.1016/j.jempfin.2010.04.008
  • [7] A. Namaki, A.H. Shirazi, R. Raei, G.R. Jafari, Physica A 390, 3835 (2011), doi: 10.1016/j.physa.2011.06.033
  • [8] M. Tumminello, T. Aste, T. Di Matteo, R.N. Mantegna, Proc. Natl. Acad. Sci. 102, 10421 (2005), doi: 10.1073/pnas.0500298102
  • [9] R.J. Hyndman, Y. Khandakar, J. Stat. Software 27, 1 (2008)
Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv126n620kz
Identifiers
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.