6533b852fe1ef96bd12aaf52
RESEARCH PRODUCT
Topology of correlation-based minimal spanning trees in real and model markets
Guido CaldarelliGiovanni BonannoRosario N. MantegnaFabrizio Lillosubject
Spanning treeStatistical Mechanics (cond-mat.stat-mech)FOS: Physical sciencesTopology (electrical circuits)Complex networkMinimum spanning treeTopologyTree (graph theory)Settore FIS/02 - Fisica Teorica Modelli e Metodi MatematiciCorrelationStock exchangeSimple (abstract algebra)Condensed Matter - Statistical MechanicsMathematicsdescription
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare 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 one-factor model.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2003-01-01 |