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http://dx.doi.org/10.5392/JKCA.2013.13.11.048

Analysis of the Stock Market Network for Portfolio Recommendation  

Lee, Yun-Jung (부산대학교 IT기반 융합산업 창의인력양성사업단)
Woo, Gyun (부산대학교 컴퓨터공학과, LG전자 스마트제어센터)
Publication Information
The Journal of the Korea Contents Association / v.13, no.11, 2013 , pp. 48-58 More about this Journal
Abstract
The stock market is constantly changing and sometimes a slump or a sudden rising in stocks happens without any special reason. So the stock market is recognized as a complex system and it is hard to predict the change on stock prices. In this paper we consider the stock market to a network consisting of stocks. We analyzed the dynamics of the Korean stock market network and evaluated the changing of the correlation between shares consisting of the time series data of 137 companies belong to KOSPI200. Our analysis shows that the stock prices tend to plummet when the correlation between stocks is very high. We propose a method for recommending the stock portfolio based on the analysis of the stock market network. To show the effectiveness of the recommended portfolio, we conducted the simulated stock investment and compared the recommended portfolio with the efficient portfolio proposed Markowitz. According to the experiment results, the rate of return of the portfolio is about 10.6% which is about 3.7% and 5.6% higher than the average rate of return of the efficient portfolio and KOSPI200 respectively.
Keywords
Stock Portfolio; Stock Market; Stock Market Network; Network Analysis; Portfolio Recommendation;
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
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