Topology of correlation-based minimal spanning trees in real and model markets

被引：320

作者：

Bonanno, G

Caldarelli, G

Lillo, F

Mantegna, RN

机构：

[1] Unita INFM Roma1, I-00185 Rome, Italy

[2] Univ Palermo, Dipartimento Fis & Tecnol Relat, I-90128 Palermo, Italy

[3] Univ Rome, Dipartimento Fis, I-00185 Rome, Italy

[4] Unita INFM Palermo, I-90128 Palermo, Italy

来源：

PHYSICAL REVIEW E | 2003年 / 68卷 / 04期

关键词：

D O I：

10.1103/PhysRevE.68.046130

中图分类号：

O35 [流体力学]; O53 [等离子体物理学];

学科分类号：

070204 ; 080103 ; 080704 ;

摘要：

We compare the topological properties of the minimal spanning tree obtained from a large group of stocks traded at the New York Stock Exchange during a 12-year trading period with the one obtained from surrogated data simulated by using simple market models. We find that the empirical tree has features of a complex network that cannot be reproduced, even as a first approximation, by a random market model and by the widespread one-factor model.

引用

页数：4

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