Correlation based networks of equity returns sampled at different time horizons
AbstractWe investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number physics/0605251.
Date of creation: May 2006
Date of revision: Apr 2007
Publication status: Published in Eur. Phys. J. B 55 (2): 209-217 (2007)
Contact details of provider:
Web page: http://arxiv.org/
Other versions of this item:
- M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2007. "Correlation based networks of equity returns sampled at different time horizons," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 55(2), pages 209-217, 01.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Vincenzo Tola & Fabrizio Lillo & Mauro Gallegati & Rosario N. Mantegna, 2005.
"Cluster analysis for portfolio optimization,"
- Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6442-6457.
- Leonidas Sandoval Junior, 2011. "A Map of the Brazilian Stock Market," Papers 1107.4146, arXiv.org, revised Mar 2013.
- Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
- Wiliński, M. & Sienkiewicz, A. & Gubiec, T. & Kutner, R. & Struzik, Z.R., 2013. "Structural and topological phase transitions on the German Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5963-5973.
- Tu, Chengyi, 2014. "Cointegration-based financial networks study in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 245-254.
- Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2010. "Complex stock trading network among investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4929-4941.
- Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, vol. 34(5), pages 1380-1391.
- Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
- Tumminello, Michele & Lillo, Fabrizio & Mantegna, Rosario N., 2010.
"Correlation, hierarchies, and networks in financial markets,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 75(1), pages 40-58, July.
- M. Tumminello & F. Lillo & R. N. Mantegna, 2008. "Correlation, hierarchies, and networks in financial markets," Papers 0809.4615, arXiv.org.
- Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo, 2014. "Clustering and hierarchy of financial markets data: advantages of the DBHT," Papers 1406.0496, arXiv.org.
- Vizgunov, A. & Goldengorin, B. & Zamaraev, V. & Kalyagin, V. & Koldanov, A. & Koldanov, P. & Pardalos, P., 2012. "Applying Market Graphs for Russian Stock Market Analysis," Journal of the New Economic Association, New Economic Association, vol. 15(3), pages 66-81.
- Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy.
- Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2739-2743.
- Caraiani, Petre, 2014. "The predictive power of singular value decomposition entropy for stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 571-578.
- Mai, Yong & Chen, Huan & Meng, Lei, 2014. "An analysis of the sectorial influence of CSI300 stocks within the directed network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 235-241.
- Grigory Bautin & Valery Kalyagin & Alexander Koldanov & Petr Koldanov & Panos Pardalos, 2013. "Simple measure of similarity for the market graph construction," Computational Management Science, Springer, vol. 10(2), pages 105-124, June.
- Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Relationship Between Prices of Food, Fuel and Biofuel," 131st Seminar, September 18-19, 2012, Prague, Czech Republic 135793, European Association of Agricultural Economists.
- Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2010. "Topological properties of stock market networks: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3240-3249.
- Sandoval, Leonidas, 2012. "Pruning a minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2678-2711.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.