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

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

2002-11-25

arxiv.org/abs/cond-mat/0211546v1

Physics

Condensed Matter

Statistical Mechanics

4 pages revtex, 4 figs, first 2 in color

Scientific paper

10.1103/PhysRevE.68.046130

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. 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 one-factor model.

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