Articlegreen2003

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

Guido Caldarelli · Fabrizio Lillo · Rosario N. Mantegna

453 citations0/0 files storedPhysical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics

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Complex Systems and Time Series Analysis Complex Network Analysis Techniques Statistical Mechanics and Entropy

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.

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References

2012The Econometrics of Financial Markets 2000An Introduction to Econophysics: Correlations and Complexity in Finance 1999Hierarchical structure in financial markets 1999Noise Dressing of Financial Correlation Matrices 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series

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