Dynamic asset trees and Black Monday

Details Dynamic asset trees and Black Monday Dynamic asset trees and Black Monday

2002-12-02

arxiv.org/abs/cond-mat/0212037v1

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.

Affiliated with

Also associated with

No associations

Rating

Dynamic asset trees and Black Monday does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Dynamic asset trees and Black Monday, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dynamic asset trees and Black Monday will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-602473