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Stock correlation network
A stock correlation network is a type of financial network based on stock price correlation used for observing, analyzing and predicting the stock market dynamics.
==Background==
In the last decade, financial networks have attracted more attention from the research community. A study on company ownership based network showed a power law distribution with majority of companies controlled by small number of people.〔Mandere, Edward Ondieki. (2009). Financial Networks and Their Applications to the Stock Market. http://etd.ohiolink.edu/view.cgi?acc_num=bgsu1234473233. Thesis accessed on February 2011〕 Another study focused on board of directors where the network was created between companies if represented by the same member on board.〔 The board membership network thus created resulted in a power law with small number of board members representing large number of companies.〔
Several studies have proposed network based models for studying the stock correlation network.〔Mantegna, R.N. (1999). Hierarchical structure in financial markets, Euro. Phys. J. (B 11): 193–197.〕〔Vandewalle, N. Brisbois, F. and Tordoir, X. (2001). Self-organized critical topology of stock markets. Quantit. Finan(1): 372–375〕〔G. Bonnanno, G. Caldarelli, F. Lillo, and R. N. Mantegna. (2003). Topology of correlation-based minimal spanning trees in real and model markets. Phys. Rev. E (68): 046103〕〔Onnela, J.P. Chakraborti, A. and Kaski, K. (2003). Dynamics of market correlations: taxonomy and portfolio analysis. Phys. Rev. E (68): 056110〕 Stock correlation network has proven its efficacy in predicting market movements. Chakrabortia and Onella showed that the average distance between the stocks can be a significant indicator of market dynamics.〔A. Chakrabortia J.P. Onnela. (2003). Dynamic asset trees and black Monday. Physica A. 〕 Their work focused on stock market (1985–1990) that included the stock market crash of 1987 (Black Monday). Andrew Lo and Khandaniy worked on the network of different hedge funds and observed the patterns before the August 2007 stock market turbulence.〔Andrew W. Lo Amir E. Khandaniy. (2007). What happened to the quants in August 2007? Preprint.〕
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