Hierarchical Structure in Financial Markets Export

@misc{citeulike:1177083, abstract = {I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of stocks.}, archivePrefix = {arXiv}, author = {Mantegna, Rosario N.}, citeulike-article-id = {1177083}, citeulike-linkout-0 = {http://arxiv.org/abs/cond-mat/9802256}, citeulike-linkout-1 = {http://arxiv.org/pdf/cond-mat/9802256}, citeulike-linkout-2 = {http://adsabs.harvard.edu/cgi-bin/nph-bib_query?bibcode=1999EPJB...11..193M}, day = {24}, eprint = {cond-mat/9802256}, keywords = {hierarchical, hierarchies, hierarchy, hypernetworks}, month = {Feb}, posted-at = {2008-02-23 01:30:16}, priority = {2}, title = {Hierarchical Structure in Financial Markets}, url = {http://arxiv.org/abs/cond-mat/9802256}, year = {1998} }

TY - ELEC ID - citeulike:1177083 L3 - citeulike-article-id:1177083 N2 - I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of stocks. TI - Hierarchical Structure in Financial Markets KW - hierarchical KW - hierarchies KW - hierarchy KW - hypernetworks AU - Mantegna, Rosario PY - 1998/Feb/24/ UR - http://arxiv.org/abs/cond-mat/9802256 ER -