Detection of Comoving Groups in a Financial Market

Conference paper
Part of the Smart Innovation, Systems and Technologies book series (SIST, volume 15)

Abstract

We reported a correlation structure hidden in the Tokyo Stock Exchange (TSE) market at KES-IDT2011. By regarding the TSE market as a network (stocks and correlation coefficients correspond to nodes and weights of links between nodes, respectively) and minimizing the Frustration among nodes, the stocks were decomposed into four comoving groups forming communities. Three of them are strongly anticorrelated to each other, and the remainder is comparatively neutral to the rest of the communities. In this paper we further extend the previous work to detect tightly-coupled groups within the communities; “Hamiltonian” is used instead of the Frustration. The Hamiltonian has two parameters which control degree of strength for correlations to be extracted. It is found that six sectors (Electric Appliance, Banks, Electric Power & Supply, Information & Communication, Securities & Commodity Futures, and Insurance) form strong cores in the communities.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Traag, V.A., Bruggeman, J.: Phys. Rev. E 80, 036115 (2009)Google Scholar
  2. 2.
    Yoshikawa, T., Iino, T., Iyetomi, H.: Market Structure as a Network with Positively and Negatively Weighted Links. In: Watada, J., Phillips-Wren, G., Jain, L.C., Howlett, R.J. (eds.) Intelligent Decision Technologies. SIST, vol. 10, pp. 511–518. Springer, Heidelberg (2011)CrossRefGoogle Scholar
  3. 3.
    Plerou, V., Gopikrishnan, P., Rosenow, B., Nunes Amaral, L.A., Stanley, H.E.: Phys. Rev. Lett. 83, 1471 (1999)CrossRefGoogle Scholar
  4. 4.
    Plerou, V., Gopikrishnan, P., Rosenow, B., Nunes Amaral, L.A., Stanley, H.E.: Phys. Rev. E 65, 066126 (2002)Google Scholar
  5. 5.
    Kim, D.H., Jeong, H.: Phys. Rev. E 72, 046133 (2005)MathSciNetGoogle Scholar
  6. 6.
    Sengupta, A.M., Mitra, P.P.: Phys. Rev. E 60, 3389 (1999)CrossRefGoogle Scholar
  7. 7.
    Leicht, E.A., Newman, M.E.J.: Phys. Rev. Lett. 100, 118703 (2008)CrossRefGoogle Scholar
  8. 8.
    Kirkpatrick, S., Gelatt, C.D., Vecchi, M.P.: Science New Series 220, 671 (1987)MathSciNetGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Takeo Yoshikawa
    • 1
  • Takashi Iino
    • 2
  • Hiroshi Iyetomi
    • 2
  1. 1.Graduate School of Science and TechnologyNiigata UniversityIkarashiJapan
  2. 2.Faculty of ScienceNiigata UniversityIkarashiJapan

Personalised recommendations