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

25 Nov 2002Giovanni BonannoGuido CaldarelliFabrizio Lilloand Rosario N. Mantegna

We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare 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... (read more)

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