• Title of article

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

  • Author/Authors

    Salvatore Miccichè، نويسنده , , Giovanni Bonanno، نويسنده , , Fabrizio Lillo، نويسنده , , Rosario N. Mantegna، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2003
  • Pages
    8
  • From page
    66
  • To page
    73
  • Abstract
    We investigate the time series of the degree of minimum spanning trees (MSTs) obtained by using a correlation-based clustering procedure which starts from (i) asset return and (ii) volatility time series. The MST is obtained at different times by computing correlation among time series over a time window of fixed length T. We find that the MST of asset return is characterized by stock degree values, which are more stable in time than the ones obtained by analyzing a MST computed starting from volatility time series. Our analysis also shows that the degree of stocks has a very slow dynamics with a time scale of several years in both cases.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2003
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    868575