The European Physical Journal B

, Volume 38, Issue 2, pp 363–371

Networks of equities in financial markets

  • G. Bonanno
  • G. Caldarelli
  • F. Lillo
  • S. Micciché
  • N. Vandewalle
  • R. N. Mantegna
Article

DOI: 10.1140/epjb/e2004-00129-6

Cite this article as:
Bonanno, G., Caldarelli, G., Lillo, F. et al. Eur. Phys. J. B (2004) 38: 363. doi:10.1140/epjb/e2004-00129-6

Abstract.

We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.

Copyright information

© Springer-Verlag Berlin/Heidelberg 2004

Authors and Affiliations

  • G. Bonanno
    • 1
    • 2
  • G. Caldarelli
    • 1
  • F. Lillo
    • 2
    • 3
  • S. Micciché
    • 2
    • 3
  • N. Vandewalle
    • 4
  • R. N. Mantegna
    • 2
    • 3
  1. 1.Istituto Nazionale per la Fisica della MateriaUnitá di Roma, Roma “La Sapienza”RomaItaly
  2. 2.Dipartimento di Fisica e Tecnologie RelativeUniversitá di PalermoPalermoItaly
  3. 3.Istituto Nazionale per la Fisica della MateriaUnitá di PalermoPalermoItaly
  4. 4.GRASP, Institut de Physique B5Université de LiégeLiégeBelgium