Scale-Free Network in Stock Markets

@inproceedings{HJ2002ScaleFreeNI,
  title={Scale-Free Network in Stock Markets},
  author={H.-J. and I.-M. and B.},
  year={2002}
}
  • H.-J., I.-M., B.
  • Published 2002
We study the cross-correlations in stock price changes among the S&P 500 companies by introducing a weighted random graph, where all vertices (companies) are fully connected via weighted edges. The weight of each edge is distributed in the range of [−1, 1] and is given by the normalized covariance of the two modified returns connected, where the modified return means the return minus the mean over all companies. We define an influence-strength at each vertex as the sum of the weights on the… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.
Showing 1-10 of 10 extracted citations

References

Publications referenced by this paper.
Showing 1-10 of 12 references

Phys

  • S. H. Yook, H. Jeong, A.-L. Barabási, Y. Tu
  • Rev. Lett. 86, 5835
  • 2001

An Introduction to Econophysics : Correlations and Complexity in Finance (Cambridge

  • R. N. Mantegna, H. E. Stanley
  • 2000
1 Excerpt

Nature 407

  • H. Jeong, B. Tombor, R. Albert, Z. N. Oltvani, A.-L. Barabási
  • 651
  • 2000
1 Excerpt

Comp

  • M. Faloutsos, P. Faloutsos, C. Faloutsos
  • Comm. Rev. 29, 251
  • 1999
2 Excerpts

Eur

  • R. N. Mantegna
  • Phys. J. B 11, 193
  • 1999
1 Excerpt

Nature 398

  • E. L. Berlow
  • 330
  • 1999
1 Excerpt

Nature 401

  • R. Albert, H. Jeong, A.-L. Barabási
  • 130
  • 1999
1 Excerpt

Science 284

  • W. B. Arthur
  • 107
  • 1999

Science 286

  • A.-L. Barabási, R. Albert
  • 509
  • 1999
1 Excerpt

Similar Papers

Loading similar papers…