Networks of equities in financial markets

By G. Bonanno, Guido Caldarelli, F. Lillo, Salvatore Miccichè, N. Vandewalle, Rosario Nunzio Mantegna. 2004

393 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/3cfc98b91a9aa5522365dc87fe37774721efd68f

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In Economics and Econometrics

In Statistical and Nonlinear Physics

Citations in the corpus

Dynamical Hierarchical Tree in Currency Markets (2007, neutral): “Electronic copy available at: http://ssrn.com/abstract=963773Electronic copy of this p per is available at: http://ssrn.com/abstract=963773 Keywords : Symbolic Time Series Analysis; real exchange rate; hierarchical tree JEL classification : C10, C14, F31,”
A Network Approach to Portfolio Selection (2016, methodology): “…with the aim of uncovering the market skeleton.11 This technique has been widely applied to several country-specific stock markets including the US (Bonanno et al., 2004; Onnela et al., 2003), Korean (Jung et al., 2006), Greek (Garas and Argyrakis, 2007) and Chinese (Huang, Zhuang, and Yao, 2009)…”
Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective (2012, background): “TheMST and HTmethods are now being increasingly used for analysis of stocks connections (Bonanno et al., 2004; Tumminello et al., 2007), foreign exchange rates (Jang et al., 2011), import/export networks (Kantar et al., 2011), interest rates systems (Tabak et al., 2009), portfolio selection (Onnela…”
On the analysis of cross-correlations in South African market data (2004, background): “Several studies have investigated market segmentation or clustering via metrics obtained from correlation matrices ([21], [15], [16] and [ 3 ]).”
A network perspective of the stock market (2010, methodology): “Recently, analyses based on network models have been proposed for studying the correlations of stock prices, including the works of Mantegna (1999), Vandewalle et al. (2001), Bonanno et al. (2001), Bonnanno et al. (2003), Bonanno et al. (2004), and Onnela et al. (2003).”