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The use of dynamical networks to detect the hierarchical organization of financial market sectors

Di Matteo, Tiziana; Pozzi, Francesco; Aste, Tomaso

Description

Two kinds of filtered networks: minimum spanning trees (MSTs) and planar maximally filtered graphs (PMFGs) are constructed from dynamical correlations computed over a moving window. We study the evolution over time of both hierarchical and topological properties of these graphs in relation to market fluctuations. We verify that the dynamical PMFG preserves the same hierarchical structure as the dynamical MST, providing in addition a more significant and richer structure, a stronger robustness...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/53770
Source: European Physical Journal B
DOI: 10.1140/epjb/e2009-00286-0

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