Correlation based networks of equity returns sampled at different time horizons

By Michele Tumminello, T. Di Matteo, Tomaso Aste, Rosario Nunzio Mantegna. 2006

243 citations recorded by the source corpus.

Abstract.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.

Subfields: Condensed Matter Physics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/3754265177676a1cd4d6ea2ca940c8187780f356

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In Condensed Matter Physics

In Economics and Econometrics

In Statistical and Nonlinear Physics

Citations in the corpus

Topological properties of stock market networks: The case of Brazil (2010, methodology): “The MST is the correlation based network associated with the single-linkage clustering algorithm [19].”
Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective (2012, methodology): “To deal with the problem, we use a bootstrapping technique proposed by Tumminello et al. (2007) specifically for MST and HT analysis.”
Correlation, Hierarchies, and Networks in Financial Markets (2008, unknown): “The obtained tree g that we termed ALMST (Tumminello et al., 2007c) is a tree naturally associated with such a clustering procedure.”