Sector analysis for a FTSE portfolio of stocks

R. Coelho, S. Hutzler, P. Repetowicz and P. Richmond

Physica A: Statistical Mechanics and its Applications, 2007, vol. 373, issue C, 615-626

Abstract: Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the associated minimal spanning tree (MST). The first four moments of the distribution of correlations and lengths of the tree are examined in detail and differences in behavior noted. For different economic groups and industries, clustering is evident. However, comparing the classification used prior to 2006 with that introduced in January 2006 it is clear that the new classification, apart from one or two notable exceptions, is much more compatible with the clustering obtained by the MST analysis. We finally compare the MST for real data with that obtained for a synthetic random market. The latter tree would seem more like the structure found by Coronnello et al. for trees based on high-frequency data.

Keywords: Econophysics; Minimal spanning trees; Sector analysis; Stock correlations; Random time series (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:373:y:2007:i:c:p:615-626

DOI: 10.1016/j.physa.2006.02.050

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