Abstract
In recent years, with a growing interest in big or large datasets, there has been a rise in the application of large graphs and networks to financial big data. Much of this research has focused on the construction and analysis of the network structure of stock markets, based on the relationships between stock prices. Motivated by Boginski et al. (2005), who studied the characteristics of a network structure of the US stock market, we construct network graphs of the UK stock market using same method. We fit four distributions to the degree density of the vertices from these graphs, the Pareto I, Fréchet, lognormal, and generalised Pareto distributions, and assess the goodness of fit. Our results show that the degree density of the complements of the market graphs, constructed using a negative threshold value close to zero, can be fitted well with the Fréchet and lognormal distributions.
| Original language | English |
|---|---|
| Pages (from-to) | 445-459 |
| Number of pages | 15 |
| Journal | Physica A: Statistical Mechanics and its Applications |
| Volume | 471 |
| Early online date | 26 Dec 2016 |
| DOIs | |
| Publication status | Published - 1 Apr 2017 |
Keywords
- Degree density
- Fréchet distribution
- Lognormal distribution
- Pareto distribution
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