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Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach

  • A. Sienkiewicz
  • T. Gubiec
  • R. Kutner
  • Z. R. Struzik
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    We study the crash dynamics of the Warsaw Stock Exchange (WSE) by using the Minimal Spanning Tree (MST) networks. We find the transition of the complex network during its evolution from a (hierarchical) power law MST network, representing the stable state of WSE before the recent worldwide financial crash, to a superstar-like (or superhub) MST network of the market decorated by a hierarchy of trees (being, perhaps, an unstable, intermediate market state). Subsequently, we observed a transition from this complex tree to the topology of the (hierarchical) power law MST network decorated by several star-like trees or hubs. This structure and topology represent, perhaps, the WSE after the worldwide financial crash, and could be considered to be an aftershock. Our results can serve as an empirical foundation for a future theory of dynamic structural and topological phase transitions on financial markets.

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    File URL: http://arxiv.org/pdf/1301.6506
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    Paper provided by arXiv.org in its series Papers with number 1301.6506.

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    Date of creation: Jan 2013
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    Handle: RePEc:arx:papers:1301.6506
    Contact details of provider: Web page: http://arxiv.org/

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    1. N. Vandewalle & F. Brisbois & X. Tordoir, 2001. "Non-random topology of stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 372-374.
    2. Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna, 2011. "Evolution of worldwide stock markets, correlation structure and correlation based graphs," Papers 1103.5555, arXiv.org.
    3. B. M. Tabak & T. R. Serra & D. O. Cajueiro, 2010. "Topological properties of commodities networks," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 74(2), pages 243-249, March.
    4. G. Bonanno & F. Lillo & R. N. Mantegna, 2001. "High-frequency cross-correlation in a set of stocks," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 96-104.
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