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Hierarchical structure in financial markets
Open accessAbstract
I find a hierarchical arrangement of stocks traded in a financial market by investigating the daily time series of the logarithm of stock price. The topological space is a subdominant ultrametric space associated with a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides a meaningful economic taxonomy.
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Citations
Cited by
Fortunato, S. (2010) · Physics Reports · doi:10.1016/j.physrep.2009.11.002 · Cited by 11,293
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Arenas, A., Díaz-Guilera, A., Kurths, J., Moreno, Y., & Zhou, C. (2008) · Physics Reports · doi:10.1016/j.physrep.2008.09.002 · Cited by 3,713
Random matrix approach to cross correlations in financial data
Plerou, V., Gopikrishnan, P., Rosenow, B., Amaral, L. A. N., Guhr, T., & Stanley, H. E. (2002) · Physical Review E · doi:10.1103/physreve.65.066126 · Cited by 936
Chong, E., Han, C., & Park, F. C. (2017) · Expert Systems with Applications · doi:10.1016/j.eswa.2017.04.030 · Cited by 834
Physical approach to complex systems
Kwapień, J., & Drożdż, S. (2012) · Physics Reports · doi:10.1016/j.physrep.2012.01.007 · Cited by 517
Metadata
- Authors
- Mantegna, R. N.
- Venue
- The European Physical Journal B
- Published
- 1999-09
- Volume
- 11
- Issue
- 1
- Pages
- 193-197
- ISSN
- 1434-6028 (ISSN-L)
- OpenAlex
- W2138144286
- Cited by
- 2,069
- References
- 0
- FWCI
- 37.48
- Type
- journal article
- Language
- en
- Open access
- green
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- Mantegna, R. N. (1999). Hierarchical structure in financial markets. The European Physical Journal B. https://doi.org/10.1007/s100510050929
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