Dynamics of market correlations: Taxonomy and portfolio analysis
نویسندگان
چکیده
منابع مشابه
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 unique function of the corresponding element of the correlation matrix. By using the concept of a central ve...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2003
ISSN: 1063-651X,1095-3787
DOI: 10.1103/physreve.68.056110