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Topology of correlation based minimal spanning trees in real and model markets

Giovanni Bonanno·Guido Caldarelli·Fabrizio Lillo·and Rosario N. Mantegna
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Abstract

We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare 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 one-factor model.

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Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo, and Rosario N. Mantegna. 2002-11-25. Topology of correlation based minimal spanning trees in real and model markets. https://doi.org/10.1103/physreve.68.046130

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