Dynamic asset trees and Black Monday
By Jukka-Pekka Onnela, Anirban Chakraborti, Kimmo K. Kaski, János Kertész. 2002
294 citations recorded by the source corpus.
The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised by its normalised length and the mean occupation layer, as measured from an appropriately chosen centre called the ‘central node’. We show how the tree length shrinks during a stock market crisis, Black Monday in this case, and how a strong reconfiguration takes place, resulting in topological shrinking of the tree.
Subfields: Condensed Matter Physics, Economics and Econometrics, Global and Planetary Change
View Paper: https://www.semanticscholar.org/paper/8d1dcae5867d444a5758e99716bb3ad2691038a0
How researchers see this paper
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In Condensed Matter Physics
In Economics and Econometrics
- T. Di Matteo
- Raphael Heiko Heiberger
- Tomaso Aste
- Rosario Nunzio Mantegna
- William T. Shaw
- Fabrizio Lillo
- Ladislav Kristoufek
- Chuangxia Huang
In Global and Planetary Change
Citations in the corpus
- Correlation structure and dynamics in volatile markets (2010, background): “However, we have seen previously that the correlation matrix contains a portion of non-significant entries and a large amount of redundant information that we want to filter out in order to extract only the subset of interactions that is important and makes the significant ‘backbone network’ of the ”
- Stock network stability in times of crisis (2014, methodology): “Several filteringmethods have been successfully used to achieve such a reduction, for instance minimal spanning trees (MST) [2–5], planar graphs [6], average linkage MST [7], dynamic MST and asset graphs [8–10] or the winner-take-all approach [11] which is, for instance, applied in Ref.”
- Econophysics: Empirical facts and agent-based models (2009, unknown): “The time dependent properties of the minimum spanning tree (introduced by Mantegna), called a ‘dynamic asset tree’, were studied by Onnela et al. (2003b).”
- Topology of foreign exchange markets using hierarchical structure methods (2006, background): “MST also helps to overcome the empirical problem of noise in a historical correlation matrix [5].”
- Degree stability of a minimum spanning tree of price return and volatility (2002, background): “Our data cover the whole period ranging from January 1987 to April 1999 (3116 trading days).”
- Dynamic Properties of Foreign Exchange Complex Network (2019, background): “The survival ratio depicts the FX network topology robustness [59].”