Reference : Networks of equities in financial markets
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Physics
http://hdl.handle.net/2268/18817
Networks of equities in financial markets
English
Bonanno, G. [> > > >]
Caldarelli, G. [> > > >]
Lillo, F. [> > > >]
Micciche, S. [> > > >]
Vandewalle, Nicolas mailto [Université de Liège - ULg > Département de physique > Physique statistique >]
Mantegna, R. N. [> > > >]
Mar-2004
European Physical Journal B -- Condensed Matter
Springer-Verlag
38
2
363-371
Yes (verified by ORBi)
1434-6028
New York
[en] We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/18817

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