Networks of equities in financial markets
作者： G. Bonanno , G. Caldarelli , F. Lillo , S. Miccich� , N. Vandewalle
DOI: 10.1140/EPJB/E2004-00129-6
关键词:
摘要: We review the recent approach of correlation based networks financial equities. investigate portfolio stocks at different time horizons, indices and volatility series we show that meaningful economic information can be extracted from noise dressed matrices. method used to falsify widespread market models by directly comparing topological properties real artificial markets.
arxiv.org
springer.com
sci-hub.se 参考文章(4)
Andrew W. Lo, John Y. Campbell, A. Craig MacKinlay, The econometrics of financial markets ,(1997)
Edwin J Elton, Martin J Gruber, Stephen J Brown, William N Goetzmann, None, Modern Portfolio Theory and Investment Analysis ,(1981)
J.-P. Onnela, A. Chakraborti, K. Kaski, J. Kertész, A. Kanto, Dynamics of market correlations: Taxonomy and portfolio analysis Physical Review E. ,vol. 68, pp. 056110- ,(2003) , 10.1103/PHYSREVE.68.056110
Rosario N. Mantegna, H. Eugene Stanley, Introduction to Econophysics: Correlations and Complexity in Finance ,(2000)