relation: http://eprints.imtlucca.it/1134/
title: Topology of correlation-based minimal spanning trees in real and model markets
creator: Bonanno, Giovanni
creator: Caldarelli, Guido
creator: Lillo, Fabrizio
creator: Mantegna, Rosario Nunzio
subject: HG Finance
subject: QC Physics
description: 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.
publisher: American Physical Society
date: 2003
type: Article
type: PeerReviewed
identifier:   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)  
relation: http://dx.doi.org/10.1103/PhysRevE.68.046130
relation: 10.1103/PhysRevE.68.046130