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Non-random topology of stock markets

Listed author(s):
  • N. Vandewalle
  • F. Brisbois
  • X. Tordoir
Registered author(s):

    We have analysed the cross correlations of daily fluctuations for [iopmath latex="$N=6358$"] N = 6358 [/iopmath] US stock prices during the year 1999. From those [iopmath latex="$N(N-1)/2$"] N ( N -1)/2 [/iopmath] correlation coefficients, the minimum spanning tree (MST) has been built. We have investigated the topology exhibited by the MST. Even though the average coordination number of stocks is [iopmath latex="$langle n rangleapprox 2$"] n 2 [/iopmath], the variance [iopmath latex="$sigma$"] [/iopmath] of the topological distribution [iopmath latex="$f(n)$"] f ( n ) [/iopmath] diverges! More precisely, we have found that [iopmath latex="$f(n) sim n^{-2.2}$"] f ( n )~ n -super--2.2 [/iopmath] holds over two decades. We have studied the topological correlations for neighbouring nodes: an extremely broad set of local configurations exists, confirming the divergence of [iopmath latex="$sigma$"] [/iopmath].

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    Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

    Volume (Year): 1 (2001)
    Issue (Month): 3 (March)
    Pages: 372-374

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    Handle: RePEc:taf:quantf:v:1:y:2001:i:3:p:372-374
    DOI: 10.1088/1469-7688/1/3/308
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