relation: http://eprints.imtlucca.it/1124/
title: Networks of equities in financial markets
creator: Bonanno, Giovanni
creator: Caldarelli, Guido
creator: Lillo, Fabrizio
creator: Miccichè, Salvatore
creator: Vandewalle, Nicolas
creator: Mantegna, Rosario Nunzio
subject: HG Finance
subject: QC Physics
description: We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
publisher: Springer-Verlag
date: 2004-05
type: Article
type: PeerReviewed
identifier:   Bonanno, Giovanni and Caldarelli, Guido and Lillo, Fabrizio and Miccichè, Salvatore and Vandewalle, Nicolas and Mantegna, Rosario Nunzio  Networks of equities in financial markets.  The European Physical Journal B - Condensed Matter, 38 (2).  pp. 363-371.  ISSN 1434-6028      (2004)  
relation: http://dx.doi.org/10.1140/epjb/e2004-00129-6
relation: 10.1140/epjb/e2004-00129-6