Topology of correlation-based minimal spanning trees in real and model markets

We compare the topological properties of 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 featu...

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Bibliographic Details
Published in:Physical review. E, Statistical, nonlinear, and soft matter physics Statistical, nonlinear, and soft matter physics, 2003-10, Vol.68 (4 Pt 2), p.046130-046130
Main Authors: Bonanno, Giovanni, Caldarelli, Guido, Lillo, Fabrizio, Mantegna, Rosario N
Format: Article
Language:English
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Summary:We compare the topological properties of 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 widespread one-factor model.
ISSN:1539-3755
DOI:10.1103/PhysRevE.68.046130