Correlation based networks of equity returns sampled at different time horizons

M. Tumminello*, T. Di Matteo, T. Aste, R. N. Mantegna

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    187 Citations (Scopus)

    Abstract

    We 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.

    Original languageEnglish
    Pages (from-to)209-217
    Number of pages9
    JournalEuropean Physical Journal B
    Volume55
    Issue number2
    DOIs
    Publication statusPublished - Jan 2007

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