Investigação da relação entre empresas através da análise topológica de uma rede na Bolsa de Valores do Brasil
Resumo
B3 (Brasil, Bolsa, Balcão) is the official stock exchange in Brazil and plays a key role in the world financial market. Stock exchange allows people and companies to relate through the shareholding and the purchase and sale of shares. The study of the relationship between people and companies can reveal valuable information about the operation of the stock exchange and, consequently, the financial market as a whole. In this work, the relations in B3 are modeled through a network, in which the vertices represent companies and people and the edges represent shareholdings. From the built network, several analyzes are performed with the objective of understanding and characterizing the patterns found in relationships. Investigation on the topology of the network is performed under different perspectives, such as the centrality of the vertices, organization of vertices in communities, the robustness and the diffusion of influence.
Palavras-chave:
Graph Mining, data mining, stock exchange, B3
Referências
Brin, S. and Page, L. The anatomy of a large-scale hypertextual web search engine. Comput. Netw. ISDN Syst. 30 (1-7): 107–117, Apr., 1998.
Caporale, G., Howells, G., Soliman, A. M., et al. Stock market development and economic growth: the causal linkage. Journal of economic development 29 (1): 33–50, 2004.
Goldenberg, J., Libai, B., and Muller, E. Talk of the network: A complex systems look at the underlying process of word-of-mouth. Marketing Letters, 2001.
Huang, W.-Q., Zhuang, X.-T., and Yao, S. A network analysis of the chinese stock market. Phys A: Statistical Mechanics and its Applications 388 (14): 2956 – 2964, 2009.
Kleinberg, J. M. Authoritative sources in a hyperlinked environment. In In Proceedings of the ACM-SIAM Symposium on Discrete Algorithms, 1998.
Moore, C. and Newman, M. E. J. Epidemics and percolation in small-world networks. Phys. Rev. E vol. 61, pp. 5678–5682, 2000.
Newman, M. E. J. and Girvan, M. Finding and evaluating community structure in networks. Physical Review E: Statistical, nonlinear and soft matter physics 69 (2), Feb., 2004.
Sarlo Neto, A., Teixeira, A. J. C., Loss, L., and Lopes, A. B. O diferencial no impacto dos resultados contábeis nas ações ordinárias e preferenciais no mercado brasileiro. Revista Contabilidade & Finanças 16 (37): 46–58, 2005.
Tabak, B. M., Serra, T. R., and Cajueiro, D. O. Topological properties of stock market networks: The case of brazil. Physica A: Statistical Mechanics and its Applications 389 (16): 3240 – 3249, 2010.
Verona, L. V., Oliveira, J. O., and Campos, M. L. Métricas para aná lise de poder em redes sociais e sua aplicação nas doações de campanha para o senado federal brasileiro. In Congresso da Soc. Brasileira de Computação, 2017.
Vieira, V., Xavier, C., Ebecken, N., and Evsukoff, A. Performance evaluation of modularity based community detection algorithms in large scale networks. Mathematical Problems in Engineering vol. 2014, pp. 1–15, Dec., 2014.
Xia, L., You, D., Jiang, X., and Guo, Q. Comparison between global financial crisis and local stock disaster on top of chinese stock network. Physica A: Statistical Mechanics and its Applications vol. 490, pp. 222 – 230, 2018.
Caporale, G., Howells, G., Soliman, A. M., et al. Stock market development and economic growth: the causal linkage. Journal of economic development 29 (1): 33–50, 2004.
Goldenberg, J., Libai, B., and Muller, E. Talk of the network: A complex systems look at the underlying process of word-of-mouth. Marketing Letters, 2001.
Huang, W.-Q., Zhuang, X.-T., and Yao, S. A network analysis of the chinese stock market. Phys A: Statistical Mechanics and its Applications 388 (14): 2956 – 2964, 2009.
Kleinberg, J. M. Authoritative sources in a hyperlinked environment. In In Proceedings of the ACM-SIAM Symposium on Discrete Algorithms, 1998.
Moore, C. and Newman, M. E. J. Epidemics and percolation in small-world networks. Phys. Rev. E vol. 61, pp. 5678–5682, 2000.
Newman, M. E. J. and Girvan, M. Finding and evaluating community structure in networks. Physical Review E: Statistical, nonlinear and soft matter physics 69 (2), Feb., 2004.
Sarlo Neto, A., Teixeira, A. J. C., Loss, L., and Lopes, A. B. O diferencial no impacto dos resultados contábeis nas ações ordinárias e preferenciais no mercado brasileiro. Revista Contabilidade & Finanças 16 (37): 46–58, 2005.
Tabak, B. M., Serra, T. R., and Cajueiro, D. O. Topological properties of stock market networks: The case of brazil. Physica A: Statistical Mechanics and its Applications 389 (16): 3240 – 3249, 2010.
Verona, L. V., Oliveira, J. O., and Campos, M. L. Métricas para aná lise de poder em redes sociais e sua aplicação nas doações de campanha para o senado federal brasileiro. In Congresso da Soc. Brasileira de Computação, 2017.
Vieira, V., Xavier, C., Ebecken, N., and Evsukoff, A. Performance evaluation of modularity based community detection algorithms in large scale networks. Mathematical Problems in Engineering vol. 2014, pp. 1–15, Dec., 2014.
Xia, L., You, D., Jiang, X., and Guo, Q. Comparison between global financial crisis and local stock disaster on top of chinese stock network. Physica A: Statistical Mechanics and its Applications vol. 490, pp. 222 – 230, 2018.
Publicado
22/10/2018
Como Citar
BARBOSA, Carlos Magno G.; FELIX, Lucas Gabriel da S.; XAVIER, Carolina R.; VIEIRA, Vinícius da F..
Investigação da relação entre empresas através da análise topológica de uma rede na Bolsa de Valores do Brasil. In: SYMPOSIUM ON KNOWLEDGE DISCOVERY, MINING AND LEARNING (KDMILE), 6. , 2018, São Paulo/SP.
Anais [...].
Porto Alegre: Sociedade Brasileira de Computação,
2018
.
p. 17-24.
ISSN 2763-8944.
DOI: https://doi.org/10.5753/kdmile.2018.27380.
