B3 Correlation Network Data 2012-2016
Description
Mothtly centralization measures and distance correlation moments measure for B3 stock returns minimum spanning tree networks.
Files
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.