Correlation based networks of equity returns sampled at different time horizons

Abstract

We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.

9 pages, 8 figures

References in corpus (22)

• Emergence of scaling in random networks
• Finding community structure in very large networks
• Fast algorithm for detecting community structure in networks
• The diameter of the world wide web
• Hierarchical Structure in Financial Markets
• How Popular is Your Paper? An Empirical Study of the Citation Distribution
• Dynamical and correlation properties of the Internet
• The Web of Human Sexual Contacts
• Noise Dressing of Financial Correlation Matrices
• Universal and non-universal properties of cross-correlations in financial time series
• Dynamics of market correlations: Taxonomy and portfolio analysis
• Topology of correlation based minimal spanning trees in real and model markets
• Networks of equities in financial markets
• Clustering and information in correlation based financial networks
• Dynamic asset trees and portfolio analysis
• The Fractal Properties of Internet
• Spanning Trees and bootstrap reliability estimation in correlation based networks
• Complex Networks on Hyperbolic Surfaces
• Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions
• Increasing market efficiency: Evolution of cross-correlations of stock returns
• Data clustering and noise undressing for correlation matrices
• An interest rates cluster analysis

Cited by in corpus (44)

• Correlation, hierarchies, and networks in financial markets
• Correlation of financial markets in times of crisis
• Correlation, Network and Multifractal Analysis of Global Financial Indices
• Mutual Information Rate-Based Networks in Financial Markets
• Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment
• Correlations in commodity markets
• Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
• Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
• Dynamic portfolio strategy using clustering approach
• Structural and topological phase transitions on the German Stock Exchange
• Complex stock trading network among investors
• Evolution of correlation structure of industrial indices of US equity markets
• Will the US Economy Recover in 2010? A Minimal Spanning Tree Study
• Dynamic evolution of cross-correlations in the Chinese stock market
• Anti-correlation and subsector structure in financial systems
• Adaptive financial networks with static and dynamic thresholds
• The Epps effect revisited
• Temporal and spatial correlation patterns of air pollutants in Chinese cities
• Pruning a Minimum Spanning Tree
• Nested hierarchies in planar graphs
• Impact of Unexpected Events, Shocking News and Rumours on Foreign Exchange Market Dynamics
• Maximal spanning trees, asset graphs and random matrix denoising in the analysis of dynamics of financial networks
• Dynamic correlations at different time-scales with Empirical Mode Decomposition
• Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach
• To lag or not to lag? How to compare indices of stock markets that operate at different times
• Information-theoretic approach to lead-lag effect on financial markets
• Efficient construction of threshold networks of stock markets
• Worldwide clustering of the corruption perception
• Compensating asynchrony effects in the calculation of financial correlations
• The study of Thai stock market across the 2008 financial crisis
• A Map of the Brazilian Stock Market
• Dependency structures in cryptocurrency market from high to low frequency
• Dynamic Multi-Factor Clustering of Financial Networks
• Memory effect and multifractality of cross-correlations in financial markets
• The Maximum Number of 3- and 4-Cliques within a Planar Maximally Filtered Graph
• Correlation Patterns in Foreign Exchange Markets
• Complex systems: features, similarity and connectivity
• Partial Mutual Information Analysis of Financial Networks
• Information Flow in the FTX Bankruptcy: A Network Approach
• Emerging interdependence between stock values during financial crashes
• Bounding robustness in complex networks under topological changes through majorization techniques
• Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
• Anti-correlation network among China A-shares
• Dynamic analysis of influential stocks based on conserved networks