https://doi.org/10.1140/epjb/e2006-00414-4
Correlation based networks of equity returns sampled at different time horizons
1
Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, 90128 Palermo, Italy
2
Department of Applied Mathematics, Australian National University, 0200 Canberra, ACT, Australia
Corresponding author: a mantegna@unipa.it
Received:
30
May
2006
Revised:
17
October
2006
Published online:
22
November
2006
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001–2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
PACS: 89.75.-k – Complex systems / 05.45.Tp – Time series analysis / 02.10.Ox – Combinatorics; graph theory / 89.65.Gh – Economics; econophysics, financial markets, business and management
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2006
