New York Stock Exchange performance: evidence from the forest of multidimensional minimum spanning trees

Abstract

.The standard practice of stock network analysis is still too far from reality. It involves Pearson correlation (PC) to quantify the similarity among stocks based on closing price only, and the minimum spanning tree (MST) to filter the economic information. In daily practice, stock is represented by its four prices: the opening, highest, lowest, and closing prices. To incorporate the information from these prices, vector correlation is used instead of PC. Furthermore, to get robust network topological properties, the MST is replaced by the forest of all possible MSTs. Its advantages is demonstrated in the analysis of 1515 stocks traded in the New York Stock Exchange from 2005–2014.