463 citations · 2.1k across the 15 of their papers we have counts for
3 papers · 1 filter
Degree stability of a minimum spanning tree of price return and volatility
Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo +1
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) v…
Topology of correlation based minimal spanning trees in real and model markets
Giovanni Bonanno, Guido Caldarelli, Fabrizio Lillo +1
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market…
Volatility in Financial Markets: Stochastic Models and Empirical Results
Salvatore Micciche`, Giovanni Bonanno, Fabrizio Lillo +1
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained a…