Hierarchical structure in financial markets

被引：1533

作者：

Mantegna, RN ^{[1
]}

机构：

[1] Ist Nazl Fis Mat, Unita Palermo, I-90128 Palermo, Italy

[2] Univ Palermo, Dipartimento Energet & Applicaz Fis, I-90128 Palermo, Italy

来源：

EUROPEAN PHYSICAL JOURNAL B | 1999年 / 11卷 / 01期

关键词：

D O I：

10.1007/s100510050929

中图分类号：

O469 [凝聚态物理学];

学科分类号：

070205 ;

摘要：

I find a hierarchical arrangement of stocks traded in a financial market by investigating the daily time series of the logarithm of stock price. The topological space is a subdominant ultrametric space associated with a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides a meaningful economic taxonomy.

引用

页码：193 / 197

页数：5

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