DYNAMICS AND STRUCTURE OF THE MAIN ITALIAN COMPANIES
Juan Brida () and
Wiston Adrian Risso ()
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Wiston Adrian Risso: Department of Economics, University of Siena, Siena, Italy
International Journal of Modern Physics C (IJMPC), 2007, vol. 18, issue 11, 1783-1793
Financial markets can be modeled as complex systems. The Hugh quantity and different information affecting these markets is a remarked characteristic. However some of this information can be recovered by constructing a topology of the market. We develop a symbolic method in order to study relationships in the financial markets by constructing a minimal spanning tree (MST) and a hierarchical tree (HT). The method is successfully applied to the Italian financial market, detecting clusters with economic sense. This classification is helpful in portfolio construction and studying industrial networks.
Keywords: Symbolic time series analysis; cluster analysis; financial asset returns; 11.25.Hf; 123.1K (search for similar items in EconPapers)
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