Self-organized critical topology of stock markets

2000/09/16 by N. Vandewalle, Nicolas Vandewalle, Vandewalle, N. +4
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #Disordered Systems and Neural Networks (cond-mat.dis-nn) #FOS: Physical sciences #Statistical Mechanics (cond-mat.stat-mech) #Theoretical and Computational Physics #cond-mat.dis-nn #cond-mat.stat-mech

paper · pdf · doi:10.48550/arxiv.cond-mat/0009245

7pages, 3 figures, see also an interactive presentation of this paper on www.market-topology.com. Quantitative Finance, in press

arxiv created 2000/09/16 · openalex publication_date 2000/09/16 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We have analyzed the cross-correlations of daily fluctuations for N=6 358 US stock prices during the year 1999. From those N(N-1)/2 correlations coefficients, the Minimum Spanning Tree (MST) has been built. We have investigated the topology exhibited by the MST. Eventhough the average topological number is ≈ 2, the variance σ of the topological distribution f(n) diverges. More precisely, we have found that f(n) ∼ n^-2.2 holding over two decades. We have studied the topological correlations for neighbouring nodes: an extremely broad set of local configurations exists, confirming the divergence of σ.

Related

• Topology data analysis of critical transitions in financial networks
• Topological Properties of Stock Networks Based on Random Matrix Theory in Financial Time Series
• Evidence of Self-Organization in Time Series of Capital Markets
• Study of the Correlations Between Stocks of Different Markets
• Investigation of Indian stock markets using topological data analysis and geometry-inspired network measures