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We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all pairs of assets by considering the synchronous time...
Persistent link: https://www.econbiz.de/10010782014
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of Correlation between stocks prices to know how far we should...
Persistent link: https://www.econbiz.de/10009643741
I find a topological arrangement of assets traded in a phonographic market which has associated a meaningful economic taxonomy. I continue using the Minimal Spanning Tree and the Life-time Of Correlations between assets, but now outside the stock markets. This is the first attempt to use these...
Persistent link: https://www.econbiz.de/10009643743