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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…
Dynamics of a financial market index after a crash
Fabrizio Lillo, Rosario N. Mantegna
We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized…
Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
Fabrizio Lillo, J. Doyne Farmer, Rosario N. Mantegna
We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse o…
Long-range correlated stationary Markovian processes
Fabrizio Lillo, Salvatore Micciche', Rosario N. Mantegna
We introduce a new class of stochastic processes which are stationary, Markovian and characterized by an infinite range of time-scales. By transforming the Fokker-Planck equation o…
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…