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Eur. Phys. J. B 55, 209217 (2007) DOI: 10.1140/epjb/e2006-00414-4 THE EUROPEAN
 

Summary: Eur. Phys. J. B 55, 209217 (2007)
DOI: 10.1140/epjb/e2006-00414-4 THE EUROPEAN
PHYSICAL JOURNAL B
Correlation based networks of equity returns sampled at different
time horizons
M. Tumminello1
, T. Di Matteo2
, T. Aste2
, and R.N. Mantegna1,a
1
Dipartimento di Fisica e Tecnologie Relative, Universit`a di Palermo, Viale delle Scienze, 90128 Palermo, Italy
2
Department of Applied Mathematics, Australian National University, 0200 Canberra, ACT, Australia
Received 30 May 2006 / Received in final form 17 October 2006
Published online 22 November 2006 c EDP Sciences, Societ`a Italiana di Fisica, Springer-Verlag 2006
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 20012003. 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

  

Source: Aste, Tomaso - Department of Applied Mathematics, Australian National University
Di Matteo, Tiziana - Department of Mathematics, King's College London

 

Collections: Materials Science; Mathematics; Physics