ANALYSIS OF TEHRAN STOCK EXCHANGE BY COMPLEX NETWORK BASED ON THRESHOLD METHOD

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RAEEI REZA; JAAFARI GHOLAMREZA; NAMAKI ALI

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Paper Information

Journal: THE IRANIAN ACCOUNTING AND AUDITING REVIEW Year:2011 | Volume:17 | Issue:62 Page(s): 33-48

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Information Journal Paper

Title

ANALYSIS OF TEHRAN STOCK EXCHANGE BY COMPLEX NETWORK BASED ON THRESHOLD METHOD

Author(s)

RAEEI REZA | JAAFARI GHOLAMREZA | NAMAKI ALI | Issue Writer Certificate

Keywords

SCALE-FREEQ3

STOCK NETWORKQ3

CLUSTERING COEFFICIENTQ3

THRESHOLDQ3

SYSTEMIC RISKQ1

Abstract

Analyzing the stock market via different methods is an essential component for forecasting the future events. One of the most recent methods for this analysis is the Complex Network notion. Complex Network is a new concept in quantitative science in order to have a complete look on the market. This method is useful for both scientific and practical purposes such as assets allocation and portfolio risk management. This is based on modeling the price fluctuations of stocks and the effects of them on each other. In this article, in order to constructing the network of Tehran Stock market, the THRESHOLD method is used. The most noticeable points are the appearance of high SYSTEMIC RISK in THRESHOLDs that are nearby the mean of correlation coefficients and increasing the component number in the stock correlation network. This analysis shows that Tehran Stock market is a SCALE-FREE network in a specific THRESHOLD interval and it obeys a Power Law distribution. So this network is composed of small quantity of Hubs (vertices with large degree) and large quantity of vertices with small degree. This matter would be useful for portfolio risk management.

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APA: Copy

RAEEI, REZA, JAAFARI, GHOLAMREZA, & NAMAKI, ALI. (2011). ANALYSIS OF TEHRAN STOCK EXCHANGE BY COMPLEX NETWORK BASED ON THRESHOLD METHOD. THE IRANIAN ACCOUNTING AND AUDITING REVIEW, 17(62), 33-48. SID. https://sid.ir/paper/8323/en

Vancouver: Copy

RAEEI REZA, JAAFARI GHOLAMREZA, NAMAKI ALI. ANALYSIS OF TEHRAN STOCK EXCHANGE BY COMPLEX NETWORK BASED ON THRESHOLD METHOD. THE IRANIAN ACCOUNTING AND AUDITING REVIEW[Internet]. 2011;17(62):33-48. Available from: https://sid.ir/paper/8323/en

IEEE: Copy

REZA RAEEI, GHOLAMREZA JAAFARI, and ALI NAMAKI, “ANALYSIS OF TEHRAN STOCK EXCHANGE BY COMPLEX NETWORK BASED ON THRESHOLD METHOD,” THE IRANIAN ACCOUNTING AND AUDITING REVIEW, vol. 17, no. 62, pp. 33–48, 2011, [Online]. Available: https://sid.ir/paper/8323/en

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