Hierarchical structure in financial markets
Hierarchical structure in financial markets
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DOI：
10.1007/s100510050929
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发表时间：
1999-09-01
影响因子：
1.6
通讯作者：
Mantegna, RN
中科院分区：
文献类型：
--
作者：
Mantegna, RN
通过研究股票价格对数的日时间序列，我发现了金融市场中股票交易的层次结构。拓扑空间是一个次支配超度量空间，它与一个连接所分析的投资组合的股票的图相关联。该图是从计算投资组合中所有股票对之间的相关系数矩阵出发，考虑每日股票价格对数之差的同步时间演化而得到的。与图相关联的次支配超度量空间的层次树提供了一个有意义的经济分类。
I find a hierarchical arrangement of stocks traded in a financial market by investigating the daily time series of the logarithm of stock price. The topological space is a subdominant ultrametric space associated with a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides a meaningful economic taxonomy.