Dynamics of market correlations: taxonomy and portfolio analysis

The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the "asset tree" has been studied in order to reflect the financial market taxonomy. The nodes of the tree are identified with stocks and the distance between them is a u...

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Veröffentlicht in:	Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics Statistical physics, plasmas, fluids, and related interdisciplinary topics, 2003-11, Vol.68 (5 Pt 2), p.056110-056110, Article 056110
Hauptverfasser:	Onnela, J-P, Chakraborti, A, Kaski, K, Kertész, J, Kanto, A
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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