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)
Full text not available from this repository.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.
| Item Type: | Article |
|---|---|
| Identification Number: | https://doi.org/10.1140/epjb/e2004-00129-6 |
| Uncontrolled 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 |
| Subjects: | H Social Sciences > HG Finance Q Science > QC Physics |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Ms T. Iannizzi |
| Date Deposited: | 15 Feb 2012 15:33 |
| Last Modified: | 15 Feb 2012 15:33 |
| URI: | http://eprints.imtlucca.it/id/eprint/1124 |
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