Networks of equities in financial markets

[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.

Disciplines :

Physics

Author, co-author :

Bonanno, G.

Caldarelli, G.

Lillo, F.

Micciche, S.

Vandewalle, Nicolas ; Université de Liège - ULiège > Département de physique > Physique statistique

Mantegna, R. N.

Language :

English

Title :

Networks of equities in financial markets

Publication date :

March 2004

Journal title :

European Physical Journal B -- Condensed Matter

ISSN :

1434-6028

eISSN :

1434-6036

Publisher :

Springer-Verlag, New York, United States - New York

Volume :

Issue :

Pages :

363-371

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 15 August 2009

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2 (1 by ULiège)

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Scopus citations^®

317

Scopus citations^®
without self-citations

296

OpenAlex citations

411

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