Hierarchical structure in financial markets

European Physical Journal B

Volumn 11, Issue 1, 1999, Pages 193-197

  Mantegna, R N ^a,b  

^a INFM   (Italy)

^b UNIVERSITY OF PALERMO   (Italy)

Author keywords

02.50.Sk Multivariate analysis; 89.90.+n Other areas of general interest to physicists

Indexed keywords

EID: 0000119298     PISSN: 14346028     EISSN: None     Source Type: Journal    
DOI: 10.1007/s100510050929     Document Type: Article

References (19)

1. P.A. Samuelson, Ind. Manag. Rev. 6, 41 (1965); reproduced as Chapter 198 in P.A. Samuelson, Collected Scientific Papers, Vol. III (M.I.T. Press, Cambridge, 1972).
2. P.A. Samuelson, Ind. Manag. Rev. 6, 41 (1965); reproduced as Chapter 198 in P.A. Samuelson, Collected Scientific Papers, Vol. III (M.I.T. Press, Cambridge, 1972).
3. S.A. Ross, J. Econ. Theo. 13, 341 (1976).
4. B.B. Mandelbrot, J. Business 36, 394 (1963).
5. L.P. Kadanoff, Simulation 16, 261 (1971).
6. R.N. Mantegna, Physica A 179, 232 (1991).
7. P. Bak, K. Chen, J.A. Scheinkman, M. Woodford, Ric. Econ. 47, 3 (1993).
8. J.-P. Bouchaud, D. Sornette, J. Phys. I France 4, 863 (1994).
9. R.N. Mantegna, H.E. Stanley, Nature 376, 46 (1995).
10. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, Y. Dodge, Nature 381, 767 (1996).
11. P. Bak, M. Paczuski, M. Shubik, Physica A 246, 430 (1997).
12. A. Arnéodo, J.-F. Muzy, D. Sornette, Eur. Phys. J. B 2, 277 (1998).
13. W. Feller, An Introduction to Probability Theory and Its Applications (Wiley, New York, 1971).
14. R.N. Mantegna, Proc. of the ANDM 97 International Conference, San Diego, 1997, edited by J.B. Kadtke, A. Bulsara (AIP, Woodbury, 1997), p. 197.
15. D. Sornette (private communication).
16. The introduction of a distance between a synchronous evolving pair of stocks was first proposed by R.N. Mantegna in cond-mat/9802256 where a distance numerically verifying properties (i) to (iii) but theoretically incorrect was used. Even if the distance used was only approximately correct, the results obtained in that study essentially coincides with the results presented here with a rigorous definition of distance.
17. D.B. West, Introduction to Graph Theory (Prentice-Hall, Englewood Cliffs NJ, 1996).
18. C.H. Papadimitriou, K. Steiglitz, Combinatorial Optimization (Prentice-Hall, Englewood Cliffs, 1982).
19. R. Rammal, G. Toulouse, M.A. Virasoro, Rev. Mod. Phys. 58, 765 (1986).