eprintid: 1134
rev_number: 11
eprint_status: archive
userid: 6
dir: disk0/00/00/11/34
datestamp: 2012-02-20 13:43:10
lastmod: 2013-11-20 14:30:41
status_changed: 2012-02-20 13:43:10
type: article
metadata_visibility: show
creators_name: Bonanno, Giovanni
creators_name: Caldarelli, Guido
creators_name: Lillo, Fabrizio
creators_name: Mantegna, Rosario Nunzio
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
creators_id: 
title: Topology of correlation-based minimal spanning trees in real and model markets
ispublished: pub
subjects: HG
subjects: QC
divisions: EIC
full_text_status: none
keywords: PACS: 89.75.Fb, 89.75.Hc, 89.65.Gh

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.
date: 2003
publication: Physical Review E
volume: 68
number: 4
publisher: American Physical Society
id_number: 10.1103/PhysRevE.68.046130
refereed: TRUE
issn: 1539-3755
official_url: http://dx.doi.org/10.1103/PhysRevE.68.046130
related_url_url: http://arxiv.org/abs/cond-mat/0211546
citation:   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)