Networks of equities in financial markets

2004/01/16 by G. Bonanno, G. Caldarelli, Guido Caldarelli +8 · 5 citations
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #Computer science #Correlation #Econometrics #Economics #Finance #Financial crisis #Financial economics #Financial market #Financial networks #Mathematics #Opinion Dynamics and Social Influence #Portfolio #Series (stratigraphy) #Systemic risk #Volatility (finance) #cond-mat.stat-mech #q-fin.ST

paper · pdf · doi:10.1140/epjb/e2004-00129-6

published as Eur Phys J B, 38, 363-371, (2004) · 9 pages, 8 figures. Accepted for publication in EPJ B

arxiv created 2004/01/16 · openalex publication_date 2004/03/01 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

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.

Citations

• Some distance properties of latent root and vector methods used in multivariate analysis
• Dynamical and Correlation Properties of the Internet
• Emergence of scaling in random networks
• Asset Trees and Asset Graphs in Financial Markets

Cited by

• Inferring, comparing and exploring ecological networks from time-series data through R packages constructnet, disgraph and dynet
• SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
• Detecting modules in dense weighted networks with the Potts method
• Correlations in commodity markets
• Nonparametric statistics of dynamic networks with distinguishable nodes