Networks of equities in financial markets
N. Vandewalle and
Papers from arXiv.org
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
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Published in Eur Phys J B, 38, 363-371, (2004)
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Journal Article: Networks of equities in financial markets (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0401300
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