Dynamic asset trees and portfolio analysis

@inproceedings{Onnela2002DynamicAT,
  title={Dynamic asset trees and portfolio analysis},
  author={J.-P. Onnela and Anirban Chakraborti and Kimmo Kaski and J{\'a}nos Kert{\'e}sz},
  year={2002}
}
The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns and provides a meaningful economic taxonomy of the stock market. In order to study the dynamics of this asset tree we characterise it by its normalised length and by the mean occupation layer, as measured from an appropriately chosen centre called the ‘central node’. We show how the tree evolves over time, and how it shrinks strongly, in particular, during a stock… CONTINUE READING
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Taxonomy of Financial Assets

J.-P. Onnela
M. Sc. thesis, Helsinki University of Technology, • 2002
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