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Networks of equities in financial markets

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Abstract.

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.

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Authors and Affiliations

  1. Istituto Nazionale per la Fisica della Materia, Unitá di Roma, Roma “La Sapienza”, Roma, Italy

    G. Bonanno & G. Caldarelli

  2. Dipartimento di Fisica e Tecnologie Relative, Universitá di Palermo, Viale delle Scienze, 90128, Palermo, Italy

    G. Bonanno, F. Lillo, S. Micciché & R. N. Mantegna

  3. Istituto Nazionale per la Fisica della Materia, Unitá di Palermo, Palermo, Italy

    F. Lillo, S. Micciché & R. N. Mantegna

  4. GRASP, Institut de Physique B5, Université de Liége, 4000, Liége, Belgium

    N. Vandewalle

Authors
  1. G. Bonanno
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  2. G. Caldarelli
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  3. F. Lillo
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  4. S. Micciché
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  5. N. Vandewalle
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  6. R. N. Mantegna
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Corresponding author

Correspondence to G. Bonanno.

Additional information

Received: 26 November 2003, Published online: 14 May 2004

PACS:

89.75.Fb Structures and organization in complex systems - 89.75.Hc Networks and genealogical trees - 89.65.Gh Economics; econophysics, financial markets, business and management

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Bonanno, G., Caldarelli, G., Lillo, F. et al. Networks of equities in financial markets. Eur. Phys. J. B 38, 363–371 (2004). https://doi.org/10.1140/epjb/e2004-00129-6

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  • DOI: https://doi.org/10.1140/epjb/e2004-00129-6

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