Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/231678
Authors: 
Marica, Vasile-George
Year of Publication: 
2019
Citation: 
[Journal:] Financial Studies [ISSN:] 2066-6071 [Volume:] 23 [Year:] 2019 [Issue:] 2 (84) [Pages:] 76-96
Abstract: 
Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can help researchers better represent the numerous multivariate and asynchronous interactions that suddenly manifest during moments of market panic. Under the current research, a no vel graphical methodology is em ployed for the description of the 1997 Asian financial crisis. It is shown that market sentiment can have an interpretable image through the use of correlation based minimum spanning trees, a useful tool for policy makers and risk managers alike.
Subjects: 
correlation matrix
graph theory
minimum spanning tree
JEL: 
C10
C18
C14
C38
C88
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/
Document Type: 
Article

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