6533b835fe1ef96bd12a018a

RESEARCH PRODUCT

Networks of equities in financial markets

Giovanni BonannoFabrizio LilloRosario N. MantegnaNicolas VandewalleSalvatore MiccichèGuido Caldarelli

subject

Statistical Finance (q-fin.ST)Statistical Mechanics (cond-mat.stat-mech)Financial marketINDEXESFOS: Physical sciencesQuantitative Finance - Statistical FinanceCondensed Matter PhysicsElectronic Optical and Magnetic MaterialsSettore FIS/02 - Fisica Teorica Modelli e Metodi MatematiciFOS: Economics and businessEconomic informationDYNAMIC ASSET TREESEconometricsEconomicsPortfolioVolatility (finance)INTERNETVOLATILITYCondensed Matter - Statistical Mechanics

description

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.

yearjournalcountryeditionlanguage
2004-01-01
10.1140/epjb/e2004-00129-6http://hdl.handle.net/10447/30317