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)
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Official URL: http://dx.doi.org/10.1103/PhysRevE.68.046130
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Abstract
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.
| Item Type: | Article |
|---|---|
| Identification Number: | 10.1103/PhysRevE.68.046130 |
| 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 |
| URI: | http://eprints.imtlucca.it/id/eprint/1134 |
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