The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Networks of equities in financial markets
Open accessAbstract
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.
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Cites
Emergence of Scaling in Random Networks
Barabási, A.-L., & Albert, R. (1999) · Science · doi:10.1126/science.286.5439.509 · Cited by 36,135
Spin Glass Theory and Beyond: An Introduction to the Replica Method and Its Applications
Mezard, M., Parisi, G., & Virasoro, M. (1986) · World Scientific Lecture Notes in Physics · doi:10.1142/0271 · Cited by 3,653
Cited by
Physical approach to complex systems
Kwapień, J., & Drożdż, S. (2012) · Physics Reports · doi:10.1016/j.physrep.2012.01.007 · Cited by 517
Network-Based Modeling and Analysis of Systemic Risk in Banking Systems1
Hu, D., Zhao, J. L., Hua, Z., & Wong, M. C. S. (2012) · MIS Quarterly · doi:10.2307/41703507 · Cited by 69
Metadata
- Authors
- Bonanno, G., Caldarelli, G., Lillo, F., Miccich�, S., Vandewalle, N., & Mantegna, R. N.
- Venue
- The European Physical Journal B - Condensed Matter
- Published
- 2004-03-01
- Volume
- 38
- Issue
- 2
- Pages
- 363-371
- ISSN
- 1434-6028 (ISSN-L)
- 1434-6036
- OpenAlex
- W2150997926
- Cited by
- 403
- References
- 2
- FWCI
- 39.51
- Type
- journal article
- Language
- en
- Open access
- green
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- Bonanno, G., Caldarelli, G., Lillo, F., Miccich�, S., Vandewalle, N., & Mantegna, R. N. (2004). Networks of equities in financial markets. The European Physical Journal B - Condensed Matter. https://doi.org/10.1140/epjb/e2004-00129-6
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