minimum spanning tree
در نشریات گروه مدیریت-
Examining the importance and influence of financial market companies is one of the main issues in the field of financial management because sometimes the collapse of a stock exchange company can affect an entire financial market. One systematic way to analyze the significance and impacts of companies is to use complex networks based on Interaction Graphs (IGs). There are different methods for quantifying the edge weight in an IG. In this method, the graph vertices represent the stock exchange companies that are connected by weighted edges (corresponding to the extent to which they relate to each other). In this paper, using the GARCH model (1,1) and the Clayton copula, we obtained the lower tail dependence interaction network of the first 52 companies of the Tehran Stock Exchange in terms of average market value, between June 2017 and October 2020. Then, based on the minimum spanning tree of the interaction network, we divided the companies into different communities. Using this classification, it was observed that the companies of the first group (Food Industry) and the second group (Oil Refinery) have the greatest impact on other companies. We also calculated the central indexes of the minimum spanning tree for each company. According to the results, the companies of the third group (Steel) have the highest average in the central indicators.
Keywords: Interaction network, Minimum Spanning Tree, GARCH Model, Clayton Copula, Lower Tail Dependence -
عملکرد مناسب شبکه در ارتباط مستقیم با میزان دسترسی و امکان برقرای ارتباط با فعالیت های مختلف است. چنان چه یک شبکه حتی در زمان عادی عملکرد مطلوب و قابل قبولی داشته باشد به دلایل مختلف عملکرد مطلوب آن قابل تسری به وضعیت پس از بحران نخواهد بود. لذا یکی از راه کارهای اصولی برای پیش گیری از آسیب شبکه حمل ونقل و مدیریت اصولی در برابر وقوع بلایای مختلف ازجمله زلزله، مطالعه و بررسی دلایل تنزل عملکرد شبکه حمل ونقل است. از شاخصه های مهم عملکردی یک شبکه می توان به مسئله کوتاه ترین درخت گسترش در شبکه اشاره کرد که پیوستگی شبکه را نشان می دهد. در این پژوهش، با استفاده از مفهوم کوتاه ترین درخت گسترش به بررسی تاب آوری شبکه های حمل ونقل در شرایط بحران پرداخته می شود و هدف از آن تعیین نقاط ضعف و قوت شبکه است. نتایج این پژوهش نشان می دهد که سهم زیادی از کمان های شبکه راه های هر استان در کوتاه ترین درخت گسترش آن استان قرار دارند؛ به طوری که به عنوان نمونه در استان تهران به عنوان پایتخت کشور نسبت کمان های موجود در کوتاه ترین درخت گسترش به کل 73درصد و نسبت طول کمان های استان که در حداقل درخت دربرگیرنده قرار می گیرند به کل طول کمان های استان 78درصد است.کلید واژگان: تاب آوری، شبکه های حمل و نقل، بحران، کوتاهترین درخت گسترشThe network's proper functioning is directly related to the amount of access and the ability to communicate with various activities. If a network, even during regular operation, is desirable and acceptable, its desirable performance cannot be extended to the post-crisis situation for its various reasons. Therefore, one of the principal methods for preventing damage to the transportation network and proper management of various disasters, including earthquakes, is to study the decline in the transportation network's performance. One of the critical characteristics of a network can be the minimum spanning tree problem. As network links connectivity is close to the tree, the network would be more vulnerable to disaster situations. In this study, using the minimum spanning tree concept, we investigate the transportation network’s evolution in crises. The results show that a large proportion of the arterial roads of each province are located in the minimum spanning tree of that province; so, as an example, in the province of Tehran, as the capital of the country, the ratio of the links in the minimum spanning tree comprises a total of links is equal to 73%. The ratio of the length of the province's links, which is included in the minimum spanning tree, is 78%. The results show that a large part of the country's arterial roads' network needs careful planning and improvement before any crises occur.Keywords: Resiliency, Transportation Network, Disaster situation, Minimum spanning tree
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Nowadays, financial markets in Iran have attracted the attention of many managers, investors and financial policymakers. Therefore, in order to make the optimal decision and reduce the risks in such a market, it is important to identify and analyze the network behavior of the financial markets at different times to obtain the optimal decision. The current study aims to answer the following research question; how is it possible to use the minimum spanning tree and hierarchical clustering in the network analysis of the Tehran Stock Exchange? The period examined was 2013 to 2018. The population consisted of all the companies accepted in Tehran Stock Exchange. The sampling was selected purposefully and contained the companies which had at least one trading day in the time span from the beginning of 2013 to the end of 2018. The stock of the investigated companies was considered as the vertexes of one graph and the coherent information criterion was considered as the weight of the edge. First, the minimum spanning tree of the graph was calculated. The results revealed that the stocks of DarooAbuReihan, DarooPakhsh and Alborzdaroo had a high influence on directing the prices of the other stocks. Furthermore, the results of hierarchical clustering classified the stocks of the companies into 8 clusters. This study presents a viewpoint about the modern method designed for the analysis of complex financial networks. Moreover, the study offers an analysis of Iran's stock market structure which can be the center of finance researchers and analysts' attention.
Keywords: Network behavior of stock, Minimum Spanning Tree, Hierarchical clustering, Behavioral similarity
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