B3 Correlation Network Data 2012-2016

Published: 27 July 2022| Version 1 | DOI: 10.17632/srx54wnj98.1
Gerson Nassor Cardoso


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.


Universidade de Sao Paulo, Universidade Federal de Sao Carlos


Social Networks, Correlation, Empirical Finance