An Outlook on Correlations in Stock Prices

Abstract

We present an outlook of the studies on correlations in the price timeseries of stocks, discussing the construction and applications of "asset tree". The topic discussed here should illustrate how the complex economic system (financial market) enrichens the list of existing dynamical systems that physicists have been studying for long.

6 pages, RevTeX format. To appear in the Conference Proceedings of ECONOPHYS-KOLKATA II: International Workshop on Econophysics of Stock Markets and Minority Games", February 14-17, 2006, SINP, Kolkata, as a book chapter in Eds. A. Chatterjee and B.K. Chakrabarti, Econophysics of Stock and other Markets, (Springer-Verlag (Italia), Milan, 2006)

Cited by in corpus (4)

• Correlation of financial markets in times of crisis
• Pruning a Minimum Spanning Tree
• Study of statistical correlations in intraday and daily financial return time series
• Statistical inference of co-movements of stocks during a financial crisis