Topology of correlation-based minimal spanning trees in real and model markets
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- 28 October 2003
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 68 (4) , 046130
- https://doi.org/10.1103/physreve.68.046130
Abstract
We compare the topological properties of the minimal spanning tree obtained from a large group of stocks traded at the New York Stock Exchange during a 12-year trading period with the one obtained from surrogated data simulated by using simple market models. We find that the empirical tree has features of a complex network that cannot be reproduced, even as a first approximation, by a random market model and by the widespread one-factor model.Keywords
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