1. Price correlation 을 이용한 경제 네트워크 구성과 clustering 가능성 Seung-Woo Son email: sonswoo@kaist.ac.krsonswoo@kaist.ac.kr Complex System and Statistical Physics Lab., Dept. Physics, KAIST, Taejeon 305-701, Korea 2003. 12. 13. SERI

2. Correlation ?  Price correlation vs. Return correlation  T/N ratio ( T: trading day, N: number of companies ) –random matrix theorem –should be significantly larger than one  Correlation matrix vs. Distance matrix

3. Price correlation 1991 - 2003 ( 468 companies, 3431 trading days )

4. Log return correlation 1991 - 2003 ( 468 companies, 3431 trading days )

5. 1980 - 2003 ( 228 companies, 6648 trading days ) Pricelog return

6. Correlation between two correlations 1991 - 2003 ( 468 companies, 3431 trading days )

7. MST - Price correlation 1991 - 2003 ( 468 companies, 3431 trading days )

8. MST - Return correlation 1991 - 2003 ( 468 companies, 3431 trading days )

9. Time moving of return correlation Period -1982~2000 NYSE 105 comp. Black Monday ( 1987 ) Dong-Hee Kim

10. 1982~1986, IBM k=24

11. 1983~1987, GE k=34

12. 1985~1989, GE k=27

13. 1986~1990, GE k=25

14. 1993~1997, MER k=16

15. 1996~2000, GE k=23

17. Percolation approach & Girvan-Newman cluster method After sorting C ij in descending order, add a link between i and j following that order. When all nodes make a giant cluster, stop the attachment. It means the links with values C ij > C * (percolation threshold) are valid and connected. 1.Building giant cluster by percolation approach 2.Break into several cluster by Girvan-Newman cluster method 1991 - 2003 ( 468 companies, 3431 trading days )

18. Percolate net (all node connected condition) 468 nodes, 85376 links (78.13% of fully connected) bad case!! - meaningless degree distribution 1991 - 2003 ( 468 companies, 3431 trading days )

19. Hierarchical tree – clustering  average link method – 두 cluster 사이에 평균 거리 순으로 연결  complete link method – 두 cluster 사이에 가장 먼 거리 순으로 …  single link method – 두 cluster 사이에 가장 가까운 거리 순으로 …  single link method 는 MST 방법과 일치

20. average link method Young-Ho Eom 1991 - 2003 ( 468 companies, 3431 trading days )

21. complete link method Young-Ho Eom 1991 - 2003 ( 468 companies, 3431 trading days )

22. single link method Young-Ho Eom 1991 - 2003 ( 468 companies, 3431 trading days )

24. Conclusion

25. 한국증시 KOSPI

26. Detailed list of used data