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1
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14644395696
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See, e.g., http://www.cscs.umich.edu/complexity.html.
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2
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11244340069
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NECSI
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BAR-YAM Y. (Editor), Unifying Themes in Complex Systems (NECSI) 2000; COWAN GEORGE A., PINES DAVID and MELTZER DAVID (Editors), Complexity Metaphors, Models, and Reality (Perseus) 1999; BARABÁSI A. L., Linked (Plume) 2003.
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Unifying Themes in Complex Systems
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Bar-Yam, Y.1
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3
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0003474825
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Perseus
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BAR-YAM Y. (Editor), Unifying Themes in Complex Systems (NECSI) 2000; COWAN GEORGE A., PINES DAVID and MELTZER DAVID (Editors), Complexity Metaphors, Models, and Reality (Perseus) 1999; BARABÁSI A. L., Linked (Plume) 2003.
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Cowan, G.A.1
David, P.2
David, M.3
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4
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12444310694
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Plume
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BAR-YAM Y. (Editor), Unifying Themes in Complex Systems (NECSI) 2000; COWAN GEORGE A., PINES DAVID and MELTZER DAVID (Editors), Complexity Metaphors, Models, and Reality (Perseus) 1999; BARABÁSI A. L., Linked (Plume) 2003.
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Linked
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Barabási, A.L.1
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8
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14644418002
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DE MENEZES M. A., BARABÁSI A.-L. and KERTÉSZ J., unpublished
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DE MENEZES M. A., BARABÁSI A.-L. and KERTÉSZ J., unpublished.
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10
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14644414365
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note
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We note that this separation does not lead to uncorrelated decomposition which can be achieved by projector technique [9].
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11
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14644418640
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EISLER Z. and KERTÉSZ J., in preparation
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EISLER Z. and KERTÉSZ J., in preparation.
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12
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0004321698
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World Scientific Publishing
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VICSEK T., Fractal Growth Phenomena (World Scientific Publishing) 1992; MATIA K., ASHKENAZY Y. and STANLEY H. E., Europhys. Lett., 61 (2003) 422.
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Vicsek, T.1
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Cambridge University Press, Cambridge
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MANTEGNA R. N. and STANLEY H. E., An Introduction to Econophysics (Cambridge University Press, Cambridge) 1999; BOUCHAUD J. P. and POTTERS M., Theory of Financial Risk (Cambridge University Press, Cambridge) 2000.
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An Introduction to Econophysics
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Mantegna, R.N.1
Stanley, H.E.2
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15
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0003460124
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Cambridge University Press, Cambridge
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MANTEGNA R. N. and STANLEY H. E., An Introduction to Econophysics (Cambridge University Press, Cambridge) 1999; BOUCHAUD J. P. and POTTERS M., Theory of Financial Risk (Cambridge University Press, Cambridge) 2000.
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Theory of Financial Risk
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Bouchaud, J.P.1
Potters, M.2
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14644440029
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note
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We discarded all companies, that were not continuously present on the market over the 3 year interval and we combined different class stocks of the same company.
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19
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14644415662
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note
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Calculations with shorter time horizons down to 5 seconds reinforced this observation.
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20
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85144685314
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EPPS T. W., J. Amer. Stat. Assoc., 74 (1979) 291; BONANNO G., LILLO F. and MANTEGNA R. N., Quant. Finance, 1 (2001) 96; BONANNO G., CALDARELLI G., LILLO F., MICCICHE S., VANDEWALLE N. and MANTEGNA R. N., Eur. Phys. J. B, 38 (2004) 363.
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Epps, T.W.1
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EPPS T. W., J. Amer. Stat. Assoc., 74 (1979) 291; BONANNO G., LILLO F. and MANTEGNA R. N., Quant. Finance, 1 (2001) 96; BONANNO G., CALDARELLI G., LILLO F., MICCICHE S., VANDEWALLE N. and MANTEGNA R. N., Eur. Phys. J. B, 38 (2004) 363.
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Quant. Finance
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Bonanno, G.1
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EPPS T. W., J. Amer. Stat. Assoc., 74 (1979) 291; BONANNO G., LILLO F. and MANTEGNA R. N., Quant. Finance, 1 (2001) 96; BONANNO G., CALDARELLI G., LILLO F., MICCICHE S., VANDEWALLE N. and MANTEGNA R. N., Eur. Phys. J. B, 38 (2004) 363.
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Bonanno, G.1
Caldarelli, G.2
Lillo, F.3
Micciche, S.4
Vandewalle, N.5
Mantegna, R.N.6
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23
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0344718518
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See, e.g., KULLMANN L., TÖYLI J., KERTÉSZ J., KANTO A. and KASKI K., Physica A, 269 (1999) 98.
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Kullmann, L.1
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24
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0001839891
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CUTLER D. M., POTERBA J. M. and SUMMERS L. H., J. Portfolio Management, 15 (1989) 4; SORNETTE D. and HELMSTETTER A., Physica A, 318 (2003) 577; ZAWADOWSKI Á. G., KARÁDI R. and KERTÉSZ J., Physica A, 316 (2002) 403.
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Cutler, D.M.1
Poterba, J.M.2
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CUTLER D. M., POTERBA J. M. and SUMMERS L. H., J. Portfolio Management, 15 (1989) 4; SORNETTE D. and HELMSTETTER A., Physica A, 318 (2003) 577; ZAWADOWSKI Á. G., KARÁDI R. and KERTÉSZ J., Physica A, 316 (2002) 403.
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(2003)
Physica A
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Sornette, D.1
Helmstetter, A.2
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26
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0037114588
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CUTLER D. M., POTERBA J. M. and SUMMERS L. H., J. Portfolio Management, 15 (1989) 4; SORNETTE D. and HELMSTETTER A., Physica A, 318 (2003) 577; ZAWADOWSKI Á. G., KARÁDI R. and KERTÉSZ J., Physica A, 316 (2002) 403.
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(2002)
Physica A
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Zawadowski, Á.G.1
Karádi, R.2
Kertész, J.3
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