Relational stock market network analysis

Abstract

In a stock market, changes in a stock price might effect the other stock's or stocks' prices. If those kind of interactions can be realized, not only the stock itself, but also the past prices of other stocks interacting with it might be used while predicting its stock price. In this research, the cross-correlations among the Istanbul Stock Exchange price changes are examined. First, the similarities among the stock price changes are calculated. Then maximum spanning trees are constructed using those similarities, and they are analyzed to understand the interactions among them in such trees.