Hierarchical structure in financial markets
AbstractI find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of stocks.
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Bibliographic InfoArticle provided by Springer in its journal The European Physical Journal B - Condensed Matter and Complex Systems.
Volume (Year): 11 (1999)
Issue (Month): 1 (September)
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Web page: http://www.springer.com/economics/journal/10051
Other versions of this item:
- R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, Springer, vol. 11(1), pages 193-197, September.
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