Hierarchical structure in financial markets
AbstractI find a hierarchical arrangement of stocks traded in a financial market by investigating the daily time series of the logarithm of stock price. The topological space is a subdominant ultrametric space associated with 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 a meaningful economic taxonomy. Copyright Società Italiana di Fisica, Springer-Verlag 1999
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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, vol. 11(1), pages 193-197, September.
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