Dynamic asset trees and Black Monday

J.-P. Onnela, A. Chakraborti, K. Kaski and J. Kertész

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 247-252

Abstract: 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.

Keywords: Time dependency of stock correlations; Minimum spanning tree; Market crash (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (131)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:247-252

DOI: 10.1016/S0378-4371(02)01882-4

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