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Networks of equities in financial markets

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Author Info
G. Bonanno
G. Caldarelli
F. Lillo
S. Micciche`
N. Vandewalle
R. N. Mantegna
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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File URL: http://arxiv.org/abs/cond-mat/0401300
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File URL: http://arxiv.org/pdf/cond-mat/0401300
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0401300.

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Date of creation: Jan 2004
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Publication status: Published in Eur Phys J B, 38, 363-371, (2004)
Handle: RePEc:arx:papers:cond-mat/0401300

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  1. Tanya Ara\'{u}jo & Francisco Lou\c{c}\~{a}, 2005. "The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises," Quantitative Finance Papers physics/0506137, arXiv.org, revised Jul 2005. [Downloadable!]
  2. Ovidiu Precup & Giulia Iori, 2005. "Cross-Correlation Measures in the High-Frequency Domain," City University Economics Discussion Papers 05/04, Department of Economics, City University, London. [Downloadable!]
    Other versions:
  3. Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany. [Downloadable!]
  4. Jorge Caiado & Nuno Crato, 2009. "Identifying common dynamic features in stock returns," CEMAPRE Working Papers 0902, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon. [Downloadable!]
    Other versions:
  5. Tanya Araujo & Francisco Louçã, 2005. "The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises," Working Papers 2005/15, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  6. Jarosław Kwapień & Sylwia Gworek & Stanisław Drożdż & Andrzej Górski, 2009. "Analysis of a network structure of the foreign currency exchange market," Journal of Economic Interaction and Coordination, Springer, vol. 4(1), pages 55-72, June. [Downloadable!] (restricted)
  7. Giulia Iori & Ovidiu V. Precup, 2006. "Weighted Network Analysis of High Frequency Cross-Correlation Measures," City University Economics Discussion Papers 06/10, Department of Economics, City University, London. [Downloadable!]
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