6533b82ffe1ef96bd1294720
RESEARCH PRODUCT
Correlation based networks of equity returns sampled at different time horizons
T. Di MatteoRosario N. MantegnaMichele TumminelloTomaso Astesubject
Physics - Physics and Societynetworks of equity different time horizonsStatistical Finance (q-fin.ST)Equity (finance)Quantitative Finance - Statistical FinanceFOS: Physical sciencesRangingPhysics and Society (physics.soc-ph)Condensed Matter PhysicsElectronic Optical and Magnetic MaterialsCorrelationFOS: Economics and businessBetweenness centralityStock exchangePhysics - Data Analysis Statistics and ProbabilityStatisticsHierarchical control systemPortfolioSampling timeData Analysis Statistics and Probability (physics.data-an)Mathematicsdescription
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2006-05-30 |