Characterizing emerging European stock markets through complex networks: From local properties to self-similar characteristics

Petre Caraiani

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 13, 3629-3637

Abstract: We investigate the properties of the returns of the main emerging stock markets from Europe by means of complex networks. We transform the series of daily returns into complex networks, and analyze the local properties of these networks with respect to degree distributions, clustering, or average line length. We further use the clustering coefficients as quantities describing the local structure of the network, and approach them by using multifractal analysis. We find evidence of scale-free networks and multifractality of clustering coefficients.

Keywords: Stock markets; Complex networks; Clustering; Determinism; Multifractality (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:13:p:3629-3637

DOI: 10.1016/j.physa.2012.02.008

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