Correlation based networks of equity returns sampled at different time horizons
We 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.
|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/|
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.:
- Tola, Vincenzo & Lillo, Fabrizio & Gallegati, Mauro & Mantegna, Rosario N., 2008.
"Cluster analysis for portfolio optimization,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(1), pages 235-258, January.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:physics/0605251. See general information about how to correct material in RePEc.
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.