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Networks of equities in financial markets

Networks of equities in financial markets 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The European Physical Journal B - Condensed Matter and Complex Systems Springer Journals

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References (50)

Publisher
Springer Journals
Copyright
Copyright © 2004 by EDP Sciences, Società Italiana di Fisica, and Springer-Verlag
Subject
Physics
ISSN
1434-6028
eISSN
1434-6036
DOI
10.1140/epjb/e2004-00129-6
Publisher site
See Article on Publisher Site

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.

Journal

The European Physical Journal B - Condensed Matter and Complex SystemsSpringer Journals

Published: Mar 1, 2004

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