Degree stability of a minimum spanning tree of price return and volatility

DOI10.1016/S0378-4371(03)00002-5zbMath1057.91065arXivcond-mat/0212338OpenAlexW3104021470MaRDI QIDQ1873934

Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo, Rosario Nunzio Mantegna

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0212338

zbMATH Keywords

time seriescorrelation-based clustering procedurestock degree

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

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• Dynamic asset trees and Black Monday
• High-frequency cross-correlation in a set of stocks
• Introduction to Econophysics

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