Correlation based networks of equity returns sampled at different time horizons

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dc.creatorTumminello, M.
dc.creatorDi Matteo, T.
dc.creatorAste, T.
dc.creatorMantegna, R. N.
dc.date2006-05-30
dc.date2007-04-03
dc.date.accessioned2026-07-07T12:07:45Z
dc.date.available2026-07-07T12:07:45Z
dc.descriptionWe investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
dc.description9 pages, 8 figures
dc.identifierhttps://arxiv.org/abs/physics/0605251
dc.identifierhttp://arxiv.org/abs/physics/0605251
dc.identifierEur. Phys. J. B 55 (2): 209-217 (2007)
dc.identifierdoi:10.1140/epjb/e2006-00414-4
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209079
dc.subjectPhysics and Society
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleCorrelation based networks of equity returns sampled at different time horizons
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