Authors
Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo, Salvatore Micciche, Nicolas Vandewalle, Rosario Nunzio Mantegna
Publication date
2004/3
Journal
The European Physical Journal B
Volume
38
Pages
363-371
Publisher
Springer Berlin Heidelberg
Description
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
Total citations
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Scholar articles
G Bonanno, G Caldarelli, F Lillo, S Micciche… - The European Physical Journal B, 2004