Topological properties of the minimal spanning trees (MST) in real and model markets were studied. MST data was obtained by using a simple model of the portfolio dynamics. The results show that the topology of the MST for the real and for the considered artificial markets is different for node with both high and low degrees. It was also found that the real market has a hierarchical distribution of importance of the nodes.
Topology of correlation-based minimal spanning trees in real and model markets
Caldarelli G.;
2003-01-01
Abstract
Topological properties of the minimal spanning trees (MST) in real and model markets were studied. MST data was obtained by using a simple model of the portfolio dynamics. The results show that the topology of the MST for the real and for the considered artificial markets is different for node with both high and low degrees. It was also found that the real market has a hierarchical distribution of importance of the nodes.File in questo prodotto:
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