Networks of equities in financial markets

被引：0

作者：

G. Bonanno

G. Caldarelli

F. Lillo

S. Micciché

N. Vandewalle

R. N. Mantegna

机构：

[1] Unitá di Roma,Istituto Nazionale per la Fisica della Materia

[2] Roma “La Sapienza”,Dipartimento di Fisica e Tecnologie Relative

[3] Universitá di Palermo,Istituto Nazionale per la Fisica della Materia

[4] Unitá di Palermo,GRASP, Institut de Physique B5

[5] Université de Liége,undefined

来源：

The European Physical Journal B | 2004年 / 38卷

关键词：

Time Series; Volatility; Time Horizon; Financial Market; Topological Property;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

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.

引用

页码：363 / 371

页数：8

共 29 条

[1] Watts undefined(1998)undefined Nature 393 440-undefined
[2] Barabási undefined(1999)undefined Science 286 509-undefined
[3] os undefined(1961)undefined Bull. Inst. Int. Stat. 38 343-undefined
[4] Albert undefined(1999)undefined A.L. Barabási Nature 401 130-undefined
[5] Caldarelli undefined(2000)undefined Europhys. Lett. 52 386-undefined
[6] Pastor-Satorras undefined(2001)undefined Phys. Rev. Lett. 87 258701-undefined
[7] Newman undefined(2002)undefined Proc. Natl. Acad. Sci. USA 99 2566-undefined
[8] Mantegna undefined(1999)undefined Eur. Phys. J. B 11 193-undefined
[9] Vandewalle undefined(2001)undefined Quantitative Finance 1 372-undefined
[10] Elton undefined(1971)undefined J. Business 44 432-undefined

← 1 2 3 →