Networks of equities in financial markets
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0401300.
Date of creation: Jan 2004
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Publication status: Published in Eur Phys J B, 38, 363-371, (2004)
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Web page: http://arxiv.org/
Other versions of this item:
- G. Bonanno & G. Caldarelli & F. Lillo & S. Micciché & N. Vandewalle & R. Mantegna, 2004. "Networks of equities in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 38(2), pages 363-371, 03.
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