2022/10/29 by Elena Farahbakhsh Touli, Hoang Nguyen, Touli, Elena Farahbakhsh +3
Computer Science · Decision Sciences · #Advanced Statistical Process Monitoring #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (cs.LG) #Statistical Finance (q-fin.ST) #Statistics Theory (math.ST) #Time Series Analysis and Forecasting
paper · pdf · doi:10.48550/arxiv.2210.16679
openalex publication_date 2022/10/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we study the connection between the companies in the Swedish capital market. We consider 28 companies included in the determination of the market index OMX30. The network structure of the market is constructed using different methods to determine the distance between the companies. We use hierarchical clustering methods to find the relation among the companies in each window. Next, we obtain one-dimensional time series of the distances between the clustering trees that reflect the changes in the relationship between the companies in the market over time. The method of statistical process control, namely the Shewhart control chart, is applied to those time series to detect abnormal changes in the financial market.