Topological Structures in the Equities Market Network

@inproceedings{LeibonTopologicalSI,
  title={Topological Structures in the Equities Market Network},
  author={Gregory Leibon and Scott D. Pauls and Daniel Rockmore and Robert Savell and BSTRACT}
}
We present a new method for articulating scale-dependent topological descriptions of the network structure inherent in many complex systems. The technique is based on " Partition Decoupled Null Models, " a new class of null models that incorporate the interaction of clustered partitions into a random model and generalize the Gaussian ensemble. As an application we analyze a correlation matrix derived from four years of close prices of equities in the NYSE and NASDAQ. In this example we expose… CONTINUE READING
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