Weighted scale-free network in financial correlations

While many scale-free (SF) networks have been introduced recently for complex systems, most of them are binary random graphs. Here we introduce a weighted SF network in associated with the cross-correlations in stock price changes among the S&P 500 companies, where all vertices (companies) are f...

Full description

Saved in:
Bibliographic Details
Published in:Journal of the Physical Society of Japan 2002-09, Vol.71 (9), p.2133-2136
Main Authors: KIM, Hyun-Joo, YOUNGKI LEE, KAHNG, Byungnam, KIM, In-Mook
Format: Article
Language:English
Subjects:
Applied sciences
Economics
Exact sciences and technology
General aspects
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:While many scale-free (SF) networks have been introduced recently for complex systems, most of them are binary random graphs. Here we introduce a weighted SF network in associated with the cross-correlations in stock price changes among the S&P 500 companies, where all vertices (companies) are fully connected and each edge has nonuniform weight given by the covariance between the two returns connected, normalized by their volatilities. Influence-strength (IS) is defined as the sum of the weights on the edges incident upon a given vertex. Then the IS distribution in its absolute magnitude |q| exhibits a SF behavior, PI(|q|)∼ |q|-η with the exponent η [approximate] 1.8(1).
ISSN:0031-9015
1347-4073
DOI:10.1143/jpsj.71.2133