Self-organized critical topology of stock markets
| dc.creator | Vandewalle, N. | |
| dc.creator | Brisbois, F. | |
| dc.creator | Tordoir, X. | |
| dc.date | 2000-09-16 | |
| dc.date.accessioned | 2026-07-07T02:38:45Z | |
| dc.date.available | 2026-07-07T02:38:45Z | |
| dc.description | 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 $<n > \approx 2$, the variance $σ$ of the topological distribution f(n) diverges. More precisely, we have found that $f(n) \sim n^{-2.2}$ 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 $σ$. | |
| dc.description | 7pages, 3 figures, see also an interactive presentation of this paper on www.market-topology.com. Quantitative Finance, in press | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0009245 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0009245 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/16787 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Disordered Systems and Neural Networks | |
| dc.title | Self-organized critical topology of stock markets | |
| dc.type | text |