Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2002-12-02
Physica A 324, 247 (2003)
Physics
Condensed Matter
Statistical Mechanics
6 pages, 3 eps figues. Elsevier style. Will appear in Physica A as part of the Bali conference proceedings, in press
Scientific paper
10.1016/S0378-4371(02)01882-4
The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised by its normalised length and the mean occupation layer, as measured from an appropriately chosen centre called the `central node'. We show how the tree length shrinks during a stock market crisis, Black Monday in this case, and how a strong reconfiguration takes place, resulting in topological shrinking of the tree.
Chakraborti Anirban
Kaski Kimmo K.
Kertesz Janos
Onnela Jukka-Pekka
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