Stock Networks Analysis in Kuala Lumpur Stock Exchange
Keywords:Stocks Market, Sub-Dominant Ultrametric, Correlation Matrix, Euclidean Distance,
AbstractThis paper deals with an analysis of correlation structure among stocks traded in Kuala Lumpur Stock Exchange (KLSE) by using network analysis approach. The minimum spanning tree (MST) related to that correlation structure will be presented to have a better understanding about stocks topological network. An overall centrality measure will be introduced to filter the economic information contained in the MST. This measure will give additional economic information that cannot be delivered by the conventional centrality measures such as degree centrality, betweenness centrality, closeness centrality and eigenvector centrality.
J. –P. Onnela, A. Chakraborti, K. Kaski, J. Kert’esz, and A. Kanto, Physical Review E, 68 (2003), 056110(1)-056110(12).
R. N. Mantegna, The European Physical Journal B, 11 (1999), 193-197.  G.Bonanno, N. Vandewalle, and R. N. Mantegna, Physical Review E, 62 (2000), R7615-R7618.
G. Bonanno, F. Lillo, and R. N. Mantegna, Physica A, 299 (2001). 16-27.
G. Bonanno, G. Caldarelli, F. Lillo, and R. N. Mantegna, Physical Review E, 68 (2003), 046130-046133.
S. Micciche, G. Bonanno, F. Lillo, and R. N. Mantegna, Physica A, 324 (2003), 66-73.
B. M. Tabak, T. R. Serra, and D. O. Cajueiro, Physica A, 389 (2010), 3240-3249.
V. Tola, F. Lillo, M. Gallegati and R. N. Mantegna, Journal of Economic Dynamic and Control, 32 (2008), 235-258.
H. Situngkir, and Y. Surya. Working Paper WPM 2004 Bandung Fe Institute, (2004), Pre-print: arxiv:nlin.PS/0405005.
M. Tumminello, T. Aste, T. D. Matteo and R. N. Mantegna, Proceedings of the National Academy of Sciences USA, 102 (2005), 10421-10426.
L. C. Freeman, Sociometry, 40 (1977), 35-41.
L. C. Freeman, Social Networks, 1 (1979), 251-239.
P. Bonacich, American Journal of Sociology, 92 (1987), 1170-1182.
S. P. Borgatti, Social Networks, 27 (2005), 55-71.
A. Mrvar and V. Batagelj, http://pajek.imfm.si/doku.php?id=download (accessed on 13 February 2011).
J. B. Kruskal, American Mathematical Society, 7(1) (1956), 48-50.
P. Bonacich, Social Networks, 29 (2007), 555-564.
I. T. Jolliffe,