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Structural and topological phase transitions on the German Stock Exchange

Listed author(s):
  • Wiliński, M.
  • Sienkiewicz, A.
  • Gubiec, T.
  • Kutner, R.
  • Struzik, Z.R.
Registered author(s):

    We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the worldwide financial crash. Using the Minimal Spanning Tree (MST) technique, a particularly useful canonical tool of the graph theory, two transitions of the topology of a complex network representing the FSE were found. The first transition is from a hierarchical scale-free MST representing the stock market before the recent worldwide financial crash, to a superstar-like MST decorated by a scale-free hierarchy of trees representing the market’s state for the period containing the crash. Subsequently, a transition is observed from this transient, (meta)stable state of the crash to a hierarchical scale-free MST decorated by several star-like trees after the worldwide financial crash. The phase transitions observed are analogous to the ones we obtained earlier for the Warsaw Stock Exchange and more pronounced than those found by Onnela–Chakraborti–Kaski–Kertész for the S&P 500 index in the vicinity of Black Monday (October 19, 1987) and also in the vicinity of January 1, 1998. Our results provide an empirical foundation for the future theory of dynamical, structural and topological phase transitions on financial markets.

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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 392 (2013)
    Issue (Month): 23 ()
    Pages: 5963-5973

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    Handle: RePEc:eee:phsmap:v:392:y:2013:i:23:p:5963-5973
    DOI: 10.1016/j.physa.2013.07.064
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    1. A. Sienkiewicz & T. Gubiec & R. Kutner & Z. R. Struzik, 2013. "Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach," Papers 1301.6506,
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    8. A. Z. Górski & S. Drożdż & J. Kwapień, 2008. "Scale free effects in world currency exchange network," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 66(1), pages 91-96, November.
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