Artem KuzymichevPublished in:
Russian Journal of Entrepreneurship
– № 10-2 / October, 2011



Keywords: correlation analysis, crisis developments in the stock market, financial crisis, identification and visualization, structure of the stock market


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Abstract:

The article considers the methods of identification and graphic interpretation of the network structures of stock markets using the correlation analysis for the stock returns and stock indices. Based on the data of the Russian stock market the author shows that its basic structure can be obtained by building a maximum spanning tree of the correlation graph of earnings per share. The article also gives an example of applying the proposed approach to visualize the contagion dynamics of the crisis developments in the stock market.

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