Evolution of Cross-Correlation in Taiwan Stock Market

Evolution of Cross-Correlation in Taiwan Stock Market

碩士 === 國立東華大學 === 應用物理研究所 === 97 === In this thesis, we use principal component analysis in combination with random matrix theory to study Taiwan stock market. We compute the yearly cross-correlation matrices constructed by 30-minute price returns of 124 stocks from 2001 to 2008 and analyze their ei...

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Main Authors: Hui-Ching Liu, 劉惠卿
Other Authors: Lin Chi-Yong
Format: Others
Language:zh-TW
Published: 2009
Online Access:http://ndltd.ncl.edu.tw/handle/36849237589224190965
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spelling ndltd-TW-097NDHU55040122016-05-02T04:11:26Z http://ndltd.ncl.edu.tw/handle/36849237589224190965 Evolution of Cross-Correlation in Taiwan Stock Market 台灣股票市場之交叉相關演化 Hui-Ching Liu 劉惠卿 碩士 國立東華大學 應用物理研究所 97 In this thesis, we use principal component analysis in combination with random matrix theory to study Taiwan stock market. We compute the yearly cross-correlation matrices constructed by 30-minute price returns of 124 stocks from 2001 to 2008 and analyze their eigen-properties. These quantitative results help to characterize the evolution of Taiwan's economy in recent 8 years. We also generate minimal spanning trees based on cross-correlation between stocks to depict the global structure of Taiwan stock market. Lin Chi-Yong Chi-Ning Chen 林子強 陳企寧 2009 學位論文 ; thesis 67 zh-TW
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language zh-TW
format Others
sources NDLTD
description 碩士 === 國立東華大學 === 應用物理研究所 === 97 === In this thesis, we use principal component analysis in combination with random matrix theory to study Taiwan stock market. We compute the yearly cross-correlation matrices constructed by 30-minute price returns of 124 stocks from 2001 to 2008 and analyze their eigen-properties. These quantitative results help to characterize the evolution of Taiwan's economy in recent 8 years. We also generate minimal spanning trees based on cross-correlation between stocks to depict the global structure of Taiwan stock market.
author2 Lin Chi-Yong
author_facet Lin Chi-Yong
Hui-Ching Liu
劉惠卿
author Hui-Ching Liu
劉惠卿
spellingShingle Hui-Ching Liu
劉惠卿
Evolution of Cross-Correlation in Taiwan Stock Market
author_sort Hui-Ching Liu
title Evolution of Cross-Correlation in Taiwan Stock Market
title_short Evolution of Cross-Correlation in Taiwan Stock Market
title_full Evolution of Cross-Correlation in Taiwan Stock Market
title_fullStr Evolution of Cross-Correlation in Taiwan Stock Market
title_full_unstemmed Evolution of Cross-Correlation in Taiwan Stock Market
title_sort evolution of cross-correlation in taiwan stock market
publishDate 2009
url http://ndltd.ncl.edu.tw/handle/36849237589224190965
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AT liúhuìqīng táiwāngǔpiàoshìchǎngzhījiāochāxiāngguānyǎnhuà
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