Abstract
Threshold methods in financial networks are important tools for obtaining important information about the financial state of a market. Previously, absolute thresholds of correlation coefficients have been used; however, they have no relation to the length of time. We assign a threshold value depending on the size of the time window by using the P-value concept of statistics. We construct a threshold network (TN) at the same threshold value for two different time window sizes in the Korean Composite Stock Price Index (KOSPI). We measure network properties, such as the edge density, clustering coefficient, assortativity coefficient, and modularity. We determine that a significant difference exists between the network properties of the two time windows at the same threshold, especially during crises. This implies that the market information depends on the length of the time window when constructing the TN. We apply the same technique to Standard and Poor’s 500 (S&P500) and observe similar results.
Similar content being viewed by others
References
J. P. Onnela, A. Chakraborti, K. Kaski, J. Kertesz and A. Kanto, Phys. Rev. E 68, 056110 (2003).
S. Kumar and N. Deo, Phys. Rev. E 86, 026101 (2012).
D-M. Song, M. Tumminello, W-X. Zhou and R. N. Mantegna, Phys. Rev. E 84, 026108 (2011).
Z. Zheng, K. Yamasaki, J. N. Tenenbaum and H. E. Stanley, Phys. Rev. E 87, 012814 (2013).
A. Sensoy, S. Yuksel and M. Ertruk, Physica A 392, 5027 (2013).
A. Sienkiewicz, T. Gubiec, R. Kutner and Z. R. Struzik, Physica A 392, 5963 (2013).
A. Nobi, S. E. Maeng, G. H. Ha and J. W. Lee, Physica A 407, 135 (2014).
W. Q. Huang, X. T. Zhuang and S. Yao, Physica A 388, 2956 (2009).
A. Namaki, A. H. Shiraz, R. Raei and G. R. Jafari, Physica A 390, 3835 (2011).
A. Nobi, S. E. Maeng, G. H. Ha and J. W. Lee, arXiv:1307.6974.
D-H. Kim and H. Jeong, Phys. Rev. E 72, 046133 (2005).
C. Eom, G. Oh, W-S. Jung, H. Jeong and S. Kim, Physica A 388, 900 (2009).
C. Eom, O. Kwon, W-S. Jung and S. Kim, Physica A 389, 1643 (2010).
R. D. Smith, J. Korean Phys. Soc. 54, 2460 (2009).
G. Oh, C. Eom, F. Wang, W-S. Jung, H. E. Stanley and S. Kim, European Phys. J. B 79, 55 (2011).
S. Chae, W-S. Jung, J-S. Yang and H-T. Moon, J. Korean Phys. Soc. 48, 313 (2006).
W-S. Jung, S. Chae, J-S. Yang and H-T. Moon, Physica A 361, 263 (2006).
K. E. Lee and J. W. Lee, J. Korean Phys. Soc. 50, 178 (2007).
http://eng.krx.co.kr/m8/m8_7/m8_7_1/UHPENG08007_01.html.
http://finance.yahoo.com/market-overview/.
G. Gabaix, P. Gopikrishnan, V. Plerou and H. E. Stanley, Nature 423, 267 (2003).
V. Plerou, P. Gopikrishnan, L. A. N. Amaral, M. Meyer and H. E. Stanley, Phys. Rev. E 60, 6519 (1999).
D. J. Watts and S. H. Strogatz, Nature 393, 440 (1998).
M. E. J. Newman, Phys. Rev. Lett. 89, 208701 (2002).
M. E. J. Newman, Phys. Rev. E. 69, 066133 (2004).
M. E. J. Newman, PNAS 103, 8577 (2006).
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Ha, GG., Lee, J.W. & Nobi, A. Threshold network of a financial market using the P-value of correlation coefficients. Journal of the Korean Physical Society 66, 1802–1808 (2015). https://doi.org/10.3938/jkps.66.1802
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.3938/jkps.66.1802