CENTRALITY AND PERIPHERALITY IN FILTERED GRAPHS FROM DYNAMICAL FINANCIAL CORRELATIONS

F. Pozzi (), T. Di Matteo () and T. Aste ()
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F. Pozzi: Department of Applied Mathematics, The Australian National University, 0200 Canberra, ACT, Australia
T. Di Matteo: Department of Applied Mathematics, The Australian National University, 0200 Canberra, ACT, Australia
T. Aste: Department of Applied Mathematics, The Australian National University, 0200 Canberra, ACT, Australia

Advances in Complex Systems (ACS), 2008, vol. 11, issue 06, pages 927-950

Abstract: Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic sectors differently populate the various regions of these graphs. We find that the financial sector is always at the center whereas the periphery is shared among different sectors. Four extremes are observed: stocks well-connected and central; stocks well-connected but at the same time peripheral; stocks poorly-connected but central; stocks poorly-connected and peripheral. Two principal components of centrality measures are individuated. The economic meaning of this hierarchical disposition is discussed.

Keywords: Econophysics; networks; minimum spanning tree; planar maximally filtered graph; financial data correlations (search for similar items in EconPapers)
Date: 2008

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