Self-organized critical topology of stock markets

N. Vandewalle; F. Brisbois; X. Tordoir

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arXiv · cond-mat/0009245

Self-organized critical topology of stock markets

N. Vandewalle·F. Brisbois·X. Tordoir

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Abstract

We have analyzed the cross-correlations of daily fluctuations for N=6 358 US stock prices during the year 1999. From those $N(N-1)/2$ correlations coefficients, the Minimum Spanning Tree (MST) has been built. We have investigated the topology exhibited by the MST. Eventhough the average topological number is $ \approx 2$, the variance $σ$ of the topological distribution f(n) diverges. More precisely, we have found that $f(n) \sim n^{-2.2}$ holding over two decades. We have studied the topological correlations for neighbouring nodes: an extremely broad set of local configurations exists, confirming the divergence of $σ$.

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BibTeX RIS

N. Vandewalle, F. Brisbois, X. Tordoir. 2000-09-16. Self-organized critical topology of stock markets. https://arxiv.org/abs/cond-mat/0009245

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