Rényi indices of financial minimum spanning trees

Chun-Xiao Nie, Fu-Tie Song and Sai-Ping Li

Physica A: Statistical Mechanics and its Applications, 2016, vol. 444, issue C, 883-889

Abstract: The Rényi index is used here to describe topological structures of minimum spanning trees (MSTs) of financial markets. We categorize the topological structures of MSTs as dragon, star and super-star types. The MST based on Geometric Brownian motion is of dragon type, the MST constructed by One-Factor Model is super-star type, and most MSTs based on real market data belong to the star type. The Rényi index of the MST corresponding to S&P500 is evaluated, and the result shows that the Rényi index varies significantly in different time periods. In particular, it rose during crises and dropped when the S&P500 index rose significantly. A comparison study between the CSI300 index of the Chinese market and the S&P500 index shows that the MST structure of the CSI300 index varies more dramatically than the MST structure of the S&P500.

Keywords: Rényi index; Minimum spanning tree; Financial market; Power law (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:444:y:2016:i:c:p:883-889

DOI: 10.1016/j.physa.2015.10.087

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