Topology of correlation-based minimal spanning trees in real and model markets

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)

Full text not available from this repository.

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.

Item Type:	Article
Identification Number:	https://doi.org/10.1103/PhysRevE.68.046130
Uncontrolled Keywords:	PACS: 89.75.Fb, 89.75.Hc, 89.65.Gh
Subjects:	H Social Sciences > HG Finance Q Science > QC Physics
Research Area:	Economics and Institutional Change
Depositing User:	Ms T. Iannizzi
Date Deposited:	20 Feb 2012 13:43
Last Modified:	20 Nov 2013 14:30
URI:	http://eprints.imtlucca.it/id/eprint/1134

Actions (login required)

Edit Item