A MAP OF THE BRAZILIAN STOCK MARKET.

Authors :: SANDOVAL JUNIOR, LEONIDAS
Source :: Advances in Complex Systems. Jul2012, Vol. 15 Issue 5, p1250042-1-1250042-40. 40p. 10 Diagrams, 5 Charts, 24 Graphs.
Publication Year :: 2012
Abstract: The correlation matrix of stocks returns is used in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data refer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analyzed using techniques of network theory. Also, using data from 2007 to 2010, a study is made on the dynamics of the network formed by stocks from that same stock exchange. [ABSTRACT FROM AUTHOR]