Issue Eur. Phys. J. B Volume 55, Number 2, January II 2007 Trends in Econophysics Page(s) 209 - 217 DOI 10.1140/epjb/e2006-00414-4 Published online 22 November 2006

Eur. Phys. J. B 55, 209-217 (2007)
DOI: 10.1140/epjb/e2006-00414-4

Correlation based networks of equity returns sampled at different time horizons

M. Tumminello¹, T. Di Matteo², T. Aste² and R.N. Mantegna<sup>1

1</sup>  Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, 90128 Palermo, Italy
²  Department of Applied Mathematics, Australian National University, 0200 Canberra, ACT, Australia

mantegna@unipa.it

(Received 30 May 2006 / Received in final form 17 October 2006 / Published online 22 November 2006)

Abstract
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.

PACS
89.75.-k - Complex systems.
05.45.Tp - Time series analysis.
02.10.Ox - Combinatorics; graph theory.
89.65.Gh - Economics; econophysics, financial markets, business and management.

© EDP Sciences, Società Italiana di Fisica, Springer-Verlag 2006

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