Revealing Ownership Structure of Funds Using Minimum Spanning Tree

• Authors: M. Rešovský , M. Gróf , D. Horváth , V. Gazda
• 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

89.65.Gh

Discipline

• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2014
• Volume: 126
• Issue: 6
• Pages: 1322-1326

Dates

published

2014-12

received

2013-04-03

(unknown)

2014-04-02

Contributors

author

M. Rešovský

• Technical University of Košice, Faculty of Economics, Košice, Slovakia

author

M. Gróf

• Technical University of Košice, Faculty of Economics, Košice, Slovakia

author

D. Horváth

• Technical University of Košice, Faculty of Economics, Košice, Slovakia

author

V. Gazda

• Technical University of Košice, Faculty of Economics, Košice, Slovakia

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Identifiers

DOI

10.12693/APhysPolA.126.1322