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Caracterización y modelado de redes: el caso de la Bolsa Mexicana de Valores

Author

Listed:
  • Linda Margarita Medina Herrera

    (Tecnológico de Monterrey)

  • José Benito Díaz Hernández

    (Tecnológico de Monterrey)

Abstract
We review the main tools which allow for statistical and topological characterization of financial networks. We present a case study in the Mexican stock market (Bolsa Mexicana de Valores) displaying dynamic trees over a period of 10 years and analyzes the significant changes that have made the movements of the stock, impacting the length, center of mass and clusters (economic sectors). The construction and telecommunications sectors are the most important within the network

Suggested Citation

  • Linda Margarita Medina Herrera & José Benito Díaz Hernández, 2011. "Caracterización y modelado de redes: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 23-32.
    • Handle: RePEc:ega:rafega:201102
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2011V5A2Medina-Diaz.pdf
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    References listed on IDEAS

    as
    1. Onnela, J.-P. & Chakraborti, A. & Kaski, K. & Kertész, J., 2003. "Dynamic asset trees and Black Monday," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 247-252.
    2. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
    3. Eom, Cheoljun & Oh, Gabjin & Jung, Woo-Sung & Jeong, Hawoong & Kim, Seunghwan, 2009. "Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 900-906.
    4. Barthélemy, Marc & Barrat, Alain & Pastor-Satorras, Romualdo & Vespignani, Alessandro, 2005. "Characterization and modeling of weighted networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(1), pages 34-43.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    redes financieras; árboles dinámicos; portafolio; conglomerados;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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