TY - JOUR
T1 - Unveiling the connectivity structure of financial networks via high-frequency analysis
AU - Materassi, Donatello
AU - Innocenti, Giacomo
PY - 2009/9/15
Y1 - 2009/9/15
N2 - The paper deals with the problem of reconstructing the internal link structure of a network of agents subject to mutual dependencies. We show that standard multivariate approaches based on a correlation analysis are not well suited to detect mutual influences and dependencies, especially in the presence of delayed or propagative relations and when the sampling rate is sufficiently high to capture them. In particular, we develop and apply a metric based on the coherence function to take into account these dynamical phenomena. The effectiveness of the proposed approach is illustrated through numerical examples and through the analysis of a real complex networked system, i.e. a set of 100 high volume stocks of the New York Stock Exchange, observed during March 2008 and sampled at high frequency.
AB - The paper deals with the problem of reconstructing the internal link structure of a network of agents subject to mutual dependencies. We show that standard multivariate approaches based on a correlation analysis are not well suited to detect mutual influences and dependencies, especially in the presence of delayed or propagative relations and when the sampling rate is sufficiently high to capture them. In particular, we develop and apply a metric based on the coherence function to take into account these dynamical phenomena. The effectiveness of the proposed approach is illustrated through numerical examples and through the analysis of a real complex networked system, i.e. a set of 100 high volume stocks of the New York Stock Exchange, observed during March 2008 and sampled at high frequency.
KW - Econophysics
KW - Multivariate analysis
KW - Stock market analysis
KW - Topology identification
UR - http://www.scopus.com/inward/record.url?scp=67649435871&partnerID=8YFLogxK
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U2 - 10.1016/j.physa.2009.06.003
DO - 10.1016/j.physa.2009.06.003
M3 - Article
AN - SCOPUS:67649435871
SN - 0378-4371
VL - 388
SP - 3866
EP - 3878
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 18
ER -