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

Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 66-73

Abstract: 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.

Keywords: Econophysics; Correlation-based clustering; Volatility (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (54)

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Working Paper: Degree stability of a minimum spanning tree of price return and volatility (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:66-73

DOI: 10.1016/S0378-4371(03)00002-5

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