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