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

Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo, and Rosario N. Mantegna
Phys. Rev. E 68, 046130 – Published 28 October 2003
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Abstract

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.

  • Received 6 May 2003

DOI:https://doi.org/10.1103/PhysRevE.68.046130

©2003 American Physical Society

Authors & Affiliations

Giovanni Bonanno1,2, Guido Caldarelli1,3, Fabrizio Lillo4, and Rosario N. Mantegna2,4

  • 1Unità INFM di Roma 1, piazzale Aldo Moro 2, I-00185 Roma, Italy
  • 2Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, viale delle Scienze, I-90128 Palermo, Italy
  • 3Dipartimento di Fisica, Università “La Sapienza,” piazzale Aldo Moro 2, I-00185 Roma, Italy
  • 4Unità INFM di Palermo, viale delle Scienze, I-90128 Palermo, Italy

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Vol. 68, Iss. 4 — October 2003

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