Network-based representation of stock market dynamics: An application to American and Swedish stock markets

Abstract

We consider three network-based models of the stock market (referred to as market graphs): one solely based on stock returns, another one based on stock returns with vertices weighted with a liquidity measure, and lastly one based on correlations of volume fluctuations. We utilize graph theory as a means for analyzing the stock market in order to show that one can potentially gain insight into structural properties and dynamics of the stock market by studying market graphs. The approach is applied to the data representing American and Swedish stock markets. © Springer Science+Business Media New York 2013.