B3 Correlation Network Data 2012-2016
Mothtly centralization measures and distance correlation moments measure for B3 stock returns minimum spanning tree networks.
Steps to reproduce
Using the Pre and Pos Data available in http://dx.doi.org/10.17632/jx3jbryypw.1 1- Create different .xlsx files for each sheet: Pre and Pos naming as Pre_Crise.xlsx and Pos_Crise.xlsx. 2- Using R Programming, create minimum spanning trees correlation networks for each month. We used pearson correlation and gower distance. The code is available ate https://github.com/gersonncardoso/Building-a-MST-Correlation-Network-in-R 3- For each month we calculated the the networks centralizations: degree, closenness, betweenness and eigenvector; and networks distance moments: mean, variance, skew and kurtosis. Our R code is available here: https://github.com/gersonncardoso/Network-Statistics-For-a-Minimum-Spanning-Tree 4- Do the stesp above for Pre_Crise.xlsx and Pos_Crise.xlsx to get the data for the both periods.