Eur. Phys. J. B 38, 363-371 (2004)
https://doi.org/10.1140/epjb/e2004-00129-6

Networks of equities in financial markets

¹ Istituto Nazionale per la Fisica della Materia, Unità di Roma, Roma “La Sapienza", Roma, Italy
² Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, 90128, Palermo, Italy
³ Istituto Nazionale per la Fisica della Materia, Unità di Palermo, Palermo, Italy
⁴ GRASP, Institut de Physique B5, Université de Liège, 4000 Liège, Belgium

Corresponding authors: ^a bonanno@gip.dft.unipa.it - ^b gcalda@pil.phys.uniroma1.it - ^c lillo@lagash.dft.unipa.it - ^d micciche@lagash.dft.unipa.it - ^e nvandewalle@ulg.ac.be - ^f mantegna@unipa.it

Received: 26 November 2003
Published online: 14 May 2004

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.