English, Article edition: CENTRALITY AND PERIPHERALITY IN FILTERED GRAPHS FROM DYNAMICAL FINANCIAL CORRELATIONS F. POZZI; T. DI MATTEO; T. ASTE

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Bookmark: http://trove.nla.gov.au/version/134306
Physical Description
  • article
Language
  • English

Edition details

Title
  • CENTRALITY AND PERIPHERALITY IN FILTERED GRAPHS FROM DYNAMICAL FINANCIAL CORRELATIONS
Author
  • F. POZZI
  • T. DI MATTEO
  • T. ASTE
Physical Description
  • article
Notes
  • Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic sectors differently populate the various regions of these graphs. We find that the financial sector is always at the center whereas the periphery is shared among different sectors. Four extremes are observed: stocks well-connected and central; stocks well-connected but at the same time peripheral; stocks poorly-connected but central; stocks poorly-connected and peripheral. Two principal components of centrality measures are individuated. The economic meaning of this hierarchical disposition is discussed.
  • Econophysics, networks, minimum spanning tree, planar maximally filtered graph, financial data correlations
  • RePEc:wsi:acsxxx:v:11:y:2008:i:06:p:927-950
Language
  • English
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