Dynamic asset trees and Black Monday

DOI10.1016/S0378-4371(02)01882-4zbMath1072.91569arXivcond-mat/0212037MaRDI QIDQ1873968

Anirban Chakraborti, Kimmo Kaski, J.-P. Onnela, János Kertész

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/0212037

zbMATH Keywords

minimum spanning treestock-return correlation matrixtopological tree shrinking

Mathematics Subject Classification ID

Applications of graph theory (05C90) Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

• High-frequency cross-correlation in a set of stocks

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