Networks of equities in financial markets
- Autori: BONANNO, G; CALDARELLI, G; LILLO, F; MICCICHE', S; VANDEWALLE, N; MANTEGNA, RN
- Anno di pubblicazione: 2004
- Tipologia: Articolo in rivista (Articolo in rivista)
- Parole Chiave: DYNAMIC ASSET TREES; VOLATILITY; INTERNET; INDEXES
- OA Link: http://hdl.handle.net/10447/30317
Abstract
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.