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Applied Network Science

Table 5 Largest eigenvalue index by sub-period

From: Dynamic correlation network analysis of financial asset returns with network clustering

 

Mean

Max

Min

 

Index

(Index-100)

Index

(Index-100)

Index

(Index-100)

T1

98.56

(-1.44)

96.73

(-3.27)

101.16

(+1.16)

T2

98.83

(-1.17)

97.14

(-2.86)

100.00

(0.00)

T3

102.14

(+2.14)

100.00

(0.00)

104.18

(+4.18)

Whole period

100

 

100

 

100

 

[value]

[8.90]

 

[9.64]

 

[8.19]

 
  1. Note: Every trading date during the whole observation period (January 2008 - May 2016) was separated into three sub-periods, namely T1, T2, and T3 by the subspace clustering of conditional adjacency matrices of the dynamic correlation network using k-means algorithm. Mean, Max, and Min represent the mean, maximum, and minimum values of the largest eigenvalues of adjacency matrices that are estimated on each trading date during the sub-period, respectively. The values are indexed at the whole period=100
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