PONE-D-22-15643The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US marketPLOS ONE

Dear Dr. Siudak,

Thank you for submitting your manuscript to PLOS ONE. After careful consideration, we feel that it has merit but does not fully meet PLOS ONE’s publication criteria as it currently stands. Therefore, we invite you to submit a revised version of the manuscript that addresses the points raised during the review process.

Sorry for the delay in the review process; too many potential reviewers have been busy in the summer period. The recommendations provided by two reviewers probably might help improve the paper.

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We look forward to receiving your revised manuscript.

Kind regards,

Vygintas Gontis, Ph.D.

Academic Editor

PLOS ONE

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Reviewers' comments:

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Comments to the Author

1. Is the manuscript technically sound, and do the data support the conclusions?

The manuscript must describe a technically sound piece of scientific research with data that supports the conclusions. Experiments must have been conducted rigorously, with appropriate controls, replication, and sample sizes. The conclusions must be drawn appropriately based on the data presented.

Reviewer #1: Partly

Reviewer #2: Partly

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2. Has the statistical analysis been performed appropriately and rigorously?

Reviewer #1: No

Reviewer #2: No

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3. Have the authors made all data underlying the findings in their manuscript fully available?

The PLOS Data policy requires authors to make all data underlying the findings described in their manuscript fully available without restriction, with rare exception (please refer to the Data Availability Statement in the manuscript PDF file). The data should be provided as part of the manuscript or its supporting information, or deposited to a public repository. For example, in addition to summary statistics, the data points behind means, medians and variance measures should be available. If there are restrictions on publicly sharing data—e.g. participant privacy or use of data from a third party—those must be specified.

Reviewer #1: Yes

Reviewer #2: Yes

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4. Is the manuscript presented in an intelligible fashion and written in standard English?

PLOS ONE does not copyedit accepted manuscripts, so the language in submitted articles must be clear, correct, and unambiguous. Any typographical or grammatical errors should be corrected at revision, so please note any specific errors here.

Reviewer #1: Yes

Reviewer #2: Yes

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5. Review Comments to the Author

Please use the space provided to explain your answers to the questions above. You may also include additional comments for the author, including concerns about dual publication, research ethics, or publication ethics. (Please upload your review as an attachment if it exceeds 20,000 characters)

Reviewer #1: In this manuscript the network measures are used for studying the value migration process based on the stock data of 498 companies listed in the S&P500 index between the end of 2018 to the end of 2019 which results in 253 daily closing prices in each time-series. The first related question is why just this period? Even more importantly, however, using such a collection of 498 time series of length 253 results in a 498 X 498 correlation matrix (introduced in section 2.1) whose real rank is 253 thus produces 498-253 = 245 zero modes. Expressing this in simple terms such a collection of data points is too poor to project out the full complexity of correlations among the 498 companies. This makes the results presented unreliable. This immediately detectable drawback needs to properly corrected/elaborated before we can proceed any further with the review procedure.

Also, about a dacade ago exactly the same market within the same methodology (of MST) has been studies in 'Physical approach to complex systems' doi:10.1016/j.physrep.2012.01.007 (Figs 80-81), and the central hub was the General Electric. It would be interesting to compare and explicitely address this point here. By the way, the corresponding figure 2 of the present manuscript is hardly readable. What makes commenting also difficult is that the equations are not numbered here.

Reviewer #2: This is an interesting manuscript using variety of techniques (including trendy machine learning algorithms) to explore the impact of the stock centrality in the value migration network onto its annual return. While combination of methods used in this paper is rather broad and interesting, I still have some doubts about novelty and non-triviality of the reported results.

My main issue is that when building VMN information about market returns seems to be used. I am talking about step 4 (lines 197-198) of the VMN formation algorithm. Doesn't this make results trivial? Annual returns (via market capitalization) inform VMN and then VMN informs annual returns?

The introduction of the manuscript starts with discussion on VM process (i.e., something dynamic). Yet later in the paper VMN is treated as static. Can't the stocks position in the VMN change over time?

Initial paragraphs of Section 2 are written in confusing manner. It is not fully clear what is used as input for VMN construction and what is the output. Similarly it is not clear what is the input for Kohonen network and how should we interpret its output. More emphasis on "input"->"process"->"output" should be made, so that it would be clear for readers unfamiliar with specificities of each process.

Is daily return data sufficient for this task? What would change if the data would be of higher/lower frequency?

Most figures are unreadable. Resolution is extremely low - can't make out what is on the axes.

It seems that term "multidimensional centrality" is used somewhat confusingly. Do you mean "network centrality" in the VMN? Which of the centrality measures do you have in mind, or the results do not depend on the centrality measure? Typically "multidimensional centrality" is centrality of a node in multidimensional (multilayer) network, but here we have no such networks.

Lines 69-70: VMN hasn't yet been introduced, but we are already discussing its properties. At this point it is hard to comprehend what does it imply for the VMN network to have power-law degree distribution.

Lines 77-78: Requires citation?

Lines 157-159: Sentence makes no sense. How can measures perform? What do they perform?

Lines 178-188: MTS -> MST. This change likely will need to be made in other parts of the manuscript, too.

Line 202: Why? Wouldn't it be more reasonable to use unit threshold value?

Line 207: Is it possible that both i and j are in inflow phase? How can this happen? What does it mean?

Line 436: Figure seems to contain undirected network, yet the text seems to imply that VMN is directed network. Or is it poor quality of the figure?

Table 1: What do you mean by "error level". Your data seems to be unlabeled and you are using unsupervised machine learning algorithm. How do you define error?

Line 681-684: What does it mean for a firm to have a positive impact on stock's return? Confusing sentence.

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Reviewer #1: No

Reviewer #2: No

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PONE-D-22-15643R1The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US marketPLOS ONE

Dear Dr. Siudak,

Thank you for submitting your manuscript to PLOS ONE. After careful consideration, we feel that it has merit but does not fully meet PLOS ONE’s publication criteria as it currently stands. Therefore, we invite you to submit a revised version of the manuscript that addresses the points raised during the review process. Please submit your revised manuscript by Nov 16 2022 11:59PM. If you will need more time than this to complete your revisions, please reply to this message or contact the journal office at plosone@plos.org. When you're ready to submit your revision, log on to https://www.editorialmanager.com/pone/ and select the 'Submissions Needing Revision' folder to locate your manuscript file.

Please include the following items when submitting your revised manuscript:

• A rebuttal letter that responds to each point raised by the academic editor and reviewer(s). You should upload this letter as a separate file labeled 'Response to Reviewers'.
• A marked-up copy of your manuscript that highlights changes made to the original version. You should upload this as a separate file labeled 'Revised Manuscript with Track Changes'.
• An unmarked version of your revised paper without tracked changes. You should upload this as a separate file labeled 'Manuscript'.

If you would like to make changes to your financial disclosure, please include your updated statement in your cover letter. Guidelines for resubmitting your figure files are available below the reviewer comments at the end of this letter.

If applicable, we recommend that you deposit your laboratory protocols in protocols.io to enhance the reproducibility of your results. Protocols.io assigns your protocol its own identifier (DOI) so that it can be cited independently in the future. For instructions see: https://journals.plos.org/plosone/s/submission-guidelines#loc-laboratory-protocols. Additionally, PLOS ONE offers an option for publishing peer-reviewed Lab Protocol articles, which describe protocols hosted on protocols.io. Read more information on sharing protocols at https://plos.org/protocols?utm_medium=editorial-email&utm_source=authorletters&utm_campaign=protocols.

We look forward to receiving your revised manuscript.

Kind regards,

Vygintas Gontis, Ph.D.

Academic Editor

PLOS ONE

Additional Editor Comments:

Could you be more careful addressing the recommendations of reviewer 1? Reviewer requests have to be implemented in the new version of the manuscript. 

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Reviewers' comments:

Reviewer's Responses to Questions

Comments to the Author

1. If the authors have adequately addressed your comments raised in a previous round of review and you feel that this manuscript is now acceptable for publication, you may indicate that here to bypass the “Comments to the Author” section, enter your conflict of interest statement in the “Confidential to Editor” section, and submit your "Accept" recommendation.

Reviewer #1: (No Response)

Reviewer #2: All comments have been addressed

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2. Is the manuscript technically sound, and do the data support the conclusions?

The manuscript must describe a technically sound piece of scientific research with data that supports the conclusions. Experiments must have been conducted rigorously, with appropriate controls, replication, and sample sizes. The conclusions must be drawn appropriately based on the data presented.

Reviewer #1: Partly

Reviewer #2: Yes

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3. Has the statistical analysis been performed appropriately and rigorously?

Reviewer #1: N/A

Reviewer #2: Yes

**********

4. Have the authors made all data underlying the findings in their manuscript fully available?

The PLOS Data policy requires authors to make all data underlying the findings described in their manuscript fully available without restriction, with rare exception (please refer to the Data Availability Statement in the manuscript PDF file). The data should be provided as part of the manuscript or its supporting information, or deposited to a public repository. For example, in addition to summary statistics, the data points behind means, medians and variance measures should be available. If there are restrictions on publicly sharing data—e.g. participant privacy or use of data from a third party—those must be specified.

Reviewer #1: (No Response)

Reviewer #2: Yes

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5. Is the manuscript presented in an intelligible fashion and written in standard English?

PLOS ONE does not copyedit accepted manuscripts, so the language in submitted articles must be clear, correct, and unambiguous. Any typographical or grammatical errors should be corrected at revision, so please note any specific errors here.

Reviewer #1: (No Response)

Reviewer #2: Yes

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6. Review Comments to the Author

Please use the space provided to explain your answers to the questions above. You may also include additional comments for the author, including concerns about dual publication, research ethics, or publication ethics. (Please upload your review as an attachment if it exceeds 20,000 characters)

Reviewer #1: The Author's response concerning my quantitative arguments related to the degeneracy of so-constructed correlation matrix expressed in my previous report is not satisfactorily expressed. This issue is now addressed, but as far as I can see only in the response letter and not in the manuscript, and, in addition, it is too descriptive. This issue should be made more quantitative and addressed in the manuscript text. In particular, does the claim that reducing the number of S&P500 companies used to the 250 largest ones does not change the result shown does mean that the remaing ones are disonnected from those 250 largest ones? If so, what for to include them?

Reviewer #2: (No Response)

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Reviewer #1: No

Reviewer #2: No

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While revising your submission, please upload your figure files to the Preflight Analysis and Conversion Engine (PACE) digital diagnostic tool, https://pacev2.apexcovantage.com/. PACE helps ensure that figures meet PLOS requirements. To use PACE, you must first register as a user. Registration is free. Then, login and navigate to the UPLOAD tab, where you will find detailed instructions on how to use the tool. If you encounter any issues or have any questions when using PACE, please email PLOS at figures@plos.org. Please note that Supporting Information files do not need this step.

The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market

PONE-D-22-15643R2

Dear Dr. Siudak,

We’re pleased to inform you that your manuscript has been judged scientifically suitable for publication and will be formally accepted for publication once it meets all outstanding technical requirements.

Within one week, you’ll receive an e-mail detailing the required amendments. When these have been addressed, you’ll receive a formal acceptance letter and your manuscript will be scheduled for publication.

An invoice for payment will follow shortly after the formal acceptance. To ensure an efficient process, please log into Editorial Manager at http://www.editorialmanager.com/pone/, click the 'Update My Information' link at the top of the page, and double check that your user information is up-to-date. If you have any billing related questions, please contact our Author Billing department directly at authorbilling@plos.org.

If your institution or institutions have a press office, please notify them about your upcoming paper to help maximize its impact. If they’ll be preparing press materials, please inform our press team as soon as possible -- no later than 48 hours after receiving the formal acceptance. Your manuscript will remain under strict press embargo until 2 pm Eastern Time on the date of publication. For more information, please contact onepress@plos.org.

Kind regards,

Vygintas Gontis, Ph.D.

Academic Editor

PLOS ONE

Additional Editor Comments (optional):

Reviewers' comments:

Reviewer's Responses to Questions

Comments to the Author

1. If the authors have adequately addressed your comments raised in a previous round of review and you feel that this manuscript is now acceptable for publication, you may indicate that here to bypass the “Comments to the Author” section, enter your conflict of interest statement in the “Confidential to Editor” section, and submit your "Accept" recommendation.

Reviewer #1: All comments have been addressed

**********

2. Is the manuscript technically sound, and do the data support the conclusions?

The manuscript must describe a technically sound piece of scientific research with data that supports the conclusions. Experiments must have been conducted rigorously, with appropriate controls, replication, and sample sizes. The conclusions must be drawn appropriately based on the data presented.

Reviewer #1: Yes

**********

3. Has the statistical analysis been performed appropriately and rigorously?

Reviewer #1: Yes

**********

4. Have the authors made all data underlying the findings in their manuscript fully available?

The PLOS Data policy requires authors to make all data underlying the findings described in their manuscript fully available without restriction, with rare exception (please refer to the Data Availability Statement in the manuscript PDF file). The data should be provided as part of the manuscript or its supporting information, or deposited to a public repository. For example, in addition to summary statistics, the data points behind means, medians and variance measures should be available. If there are restrictions on publicly sharing data—e.g. participant privacy or use of data from a third party—those must be specified.

Reviewer #1: Yes

**********

5. Is the manuscript presented in an intelligible fashion and written in standard English?

PLOS ONE does not copyedit accepted manuscripts, so the language in submitted articles must be clear, correct, and unambiguous. Any typographical or grammatical errors should be corrected at revision, so please note any specific errors here.

Reviewer #1: Yes

**********

6. Review Comments to the Author

Please use the space provided to explain your answers to the questions above. You may also include additional comments for the author, including concerns about dual publication, research ethics, or publication ethics. (Please upload your review as an attachment if it exceeds 20,000 characters)

Reviewer #1: The concerns expressed before are now properly addressed and thus this manuscript can be accepted for publication in PLOS One its current form.

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7. PLOS authors have the option to publish the peer review history of their article (what does this mean?). If published, this will include your full peer review and any attached files.

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Reviewer #1: No

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