The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market

Abstract

Complex financial systems are the subject of current research interest. The notion of complex network is used for understanding the value migration process. Based on the stock data of 498 companies listed in the S&P500, the value migration network has been constructed using the MST-Pathfinder filtering network approach. The analysis covered 471 companies included in the largest component of VMN. Three methods: (i) complex networks; (ii) artificial neural networks and (iii) MARS regression, are developed to determine the effect of network centrality measures and rate of return on shares. A network-based data mining analysis has revealed that the topological position in the value migration network has a pronounced impact on the stock’s returns.