Bonanno, Giovanni and Caldarelli, Guido and Lillo, Fabrizio and Mantegna, Rosario Nunzio Topology of correlation-based minimal spanning trees in real and model markets. Physical Review E, 68 (4). ISSN 1539-3755 (2003)Full text not available from this repository.
We compare the topological properties of the minimal spanning tree obtained from a large group of stocks traded at the New York Stock Exchange during a 12-year trading period with the one obtained from surrogated data simulated by using simple market models. We find that the empirical tree has features of a complex network that cannot be reproduced, even as a first approximation, by a random market model and by the widespread one-factor model.
|Uncontrolled Keywords:||PACS: 89.75.Fb, 89.75.Hc, 89.65.Gh|
|Subjects:||H Social Sciences > HG Finance
Q Science > QC Physics
|Research Area:||Economics and Institutional Change|
|Depositing User:||Ms T. Iannizzi|
|Date Deposited:||20 Feb 2012 13:43|
|Last Modified:||20 Nov 2013 14:30|
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