Degree stability of a minimum spanning tree of price return and volatility

By Salvatore Miccichè, G. Bonanno, Fabrizio Lillo, Rosario Nunzio Mantegna. 2002

151 citations recorded by the source corpus.

We investigate the time series of the degree of minimum spanning trees (MSTs) obtained by using a correlation-based clustering procedure which starts from (i) asset return and (ii) volatility time series. The MST is obtained at different times by computing correlation among time series over a time window of fixed length T. We find that the MST of asset return is characterized by stock degree values, which are more stable in time than the ones obtained by analyzing a MST computed starting from volatility time series. Our analysis also shows that the degree of stocks has a very slow dynamics with a time scale of several years in both cases.

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

View Paper: https://www.semanticscholar.org/paper/e86238c774fb2e5dc3d96607b6970a67bb439073

Citations in the corpus

• Correlation, Hierarchies, and Networks in Financial Markets (2008, unknown): “…et al., 2003), market index returns of worldwide stock exchanges (Bonanno et al., 2000), and volatility increments of stock return time series (Micciche et al., 2003), where the estimation of statistical reliable properties of the correlation matrix is crucial for several financial decision…”