Topology of correlation-based minimal spanning trees in real and model markets.
We compare the topological properties of the minimal spanning tree obtained from a large group of stocks traded at the New York Stock Exchange during a 12-year trading period with the one obtained from surrogated data simulated by using simple market models. We find that the empirical tree has features of a complex network that cannot be reproduced, even as a first approximation, by a random market model and by the widespread one-factor model.
Bonanno
Giovanni
G
Unità INFM di Roma 1, piazzale Aldo Moro 2, I-00185 Rome, Italy.
Caldarelli
Guido
G
Lillo
Fabrizio
F
Mantegna
Rosario N
RN