Asset-asset interactions and clustering in financial markets

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dc.creatorCuniberti, G.
dc.creatorPorto, M.
dc.creatorRoman, H. E.
dc.date2001-09-03
dc.date.accessioned2026-07-07T12:06:36Z
dc.date.available2026-07-07T12:06:36Z
dc.descriptionThe collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental changes due to a `heat bath' acting on the many-asset system, quantitatively described in terms of a time dependent effective temperature. The remaining intrinsic properties can be widely investigated by applying standard methods of classical many body systems. As an example, we consider a large set of stocks traded at the NYSE and determine the corresponding asset--asset `interaction' potential. In order to investigate in more detail the cluster structure suggested by the short distance behavior of the interaction potential, we perform a connectivity analysis of the spatial distribution of the particle system. In this way, we are able to draw conclusions on the intrinsic cluster persistency independently of the specific market conditions.
dc.description6 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0109026
dc.identifierhttp://arxiv.org/abs/cond-mat/0109026
dc.identifierPhysica A 299, 263-268 (2001)
dc.identifierdoi:10.1016/S0378-4371(01)00304-1
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208701
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleAsset-asset interactions and clustering in financial markets
dc.typetext

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