eprintid: 1124
rev_number: 6
eprint_status: archive
userid: 6
dir: disk0/00/00/11/24
datestamp: 2012-02-15 15:33:23
lastmod: 2012-02-15 15:33:23
status_changed: 2012-02-15 15:33:23
type: article
metadata_visibility: show
creators_name: Bonanno, Giovanni
creators_name: Caldarelli, Guido
creators_name: Lillo, Fabrizio
creators_name: Miccichè, Salvatore
creators_name: Vandewalle, Nicolas
creators_name: Mantegna, Rosario Nunzio
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
creators_id: 
creators_id: 
creators_id: 
title: Networks of equities in financial markets
ispublished: pub
subjects: HG
subjects: QC
divisions: EIC
full_text_status: none
keywords: PACS: 89.75.Fb Structures and organization in complex systems - 89.75.Hc Networks and genealogical trees - 89.65.Gh Economics; econophysics, financial markets, business and management
abstract: 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.
date: 2004-05
date_type: published
publication: The European Physical Journal B - Condensed Matter
volume: 38
number: 2
publisher: Springer-Verlag
pagerange: 363-371
id_number: 10.1140/epjb/e2004-00129-6
refereed: TRUE
issn: 1434-6028
official_url: http://dx.doi.org/10.1140/epjb/e2004-00129-6
citation:   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)