ARTÍCULO
TITULO

VISUAL CORRELATION ANALYSIS OF FINANCIAL TIME SERIES

Jovica Stankovic    
Jelena Z. Stankovic    
Ognjen Radovic    

Resumen

The massive amount of financial time series data that originates from the stock markets generates huge quantity of complex data that is of interest to a large number of market participants. In order to gain a comprehensive understanding of the market mechanism investors require adequate solutions that can effectively handle the information. In this paper the concept of a minimum spanning tree (MST) is used to study patterns of comovements for a set of stocks from the South-East European emerging markets. It is presented how the MST and its related hierarchical tree evolve over time and describe the development of securities linkages. Over the sample period, 2007?2014, linkages between securities have changed, especially during the period of global financial crisis, what can have significant implications for investment decision-making.

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