Topological structures in the equities market network

Proceedings of the National Academy of Sciences of the United States of America

Volumn 105, Issue 52, 2008, Pages 20589-20594

  Leibon, Gregory ^a   Pauls, Scott ^a   Rockmore, Daniel ^a,b   Savell, Robert ^c  

^a Lamont Doherty Earth Observatory   (United States)

^b Dartmouth College   (United States)

^c DARTMOUTH COLLEGE   (United States)

Author keywords

Cluster analysis; Complex systems; Delaunay decomposition; Dimension reduction; Multiscale

Indexed keywords

ARTICLE; CLUSTER ANALYSIS; MATHEMATICAL ANALYSIS; MATHEMATICAL MODEL; PRIORITY JOURNAL; SOCIAL MARKETING; SOCIAL NETWORK; SOCIAL STRUCTURE;

EID: 58549089495     PISSN: 00278424     EISSN: 10916490     Source Type: Journal    
DOI: 10.1073/pnas.0802806106     Document Type: Article

References (25)

1. Kandel E, Schwartz J, Jessell T (2000) Principles of Neural Science (McGraw-Hill, New York).
2. Watts JD, Muhamad R, Medina DC, Dodds PS (2005) Multiscale, resurgent epidemics in a hierarchical metapopulation model. Proc Natl Acad Sci USA 102:11157-11162.
3. Watts DJ, Dodds PS, Newman MEJ (2002) Identity and search in social networks. Science 296:1302-1305.
4. Broder A, et al. (2000) Graph structure in the Web. Computer Networks 33:309-320.
5. Gompers PA, Metrick A (2001) Institutional investors and equity prices. Q J Econ 116 (1):229-259.
6. Mallat SG (1989) A theory for multiresolution signal decomposition: The wavelet representation. IEEE Trans Pattern Anal Machine Intell 11:674-693.
7. Barbano PE, Spivak M, Feng J, Antoniotti M, Mishra B (2005) A coherent framework for multiresolution analysis of biological networks with "memory": Ras pathway, cell cycle, and immune system. Proc Natl Acad Sci USA 102:6245-6250.
8. Rahman I, Drori I, Stodden VC, Donoho DL, Schroeder P (2005) Multiscale representations for manifold valued data. SIAM J Multiscale Model Sim 4:1201-1232.
9. Hair J, Black B, Babin B, Anderson RE, Tatham RL (2004) Multivariate Data Analysis (Prentice Hall, Englewood Cliffs, NJ).
10. Mantegna NR (1999) Hierarchical structure in financial markets. Eur Phys J Ser B 11:193-197.
11. Tumminello M, Aste T, Di Matteo T, RN Mantegna (2005) A tool for filtering information in complex systems. Proc Natl Acad Sci USA 102:10421-10426.
12. Sales-Pardo M, Guimera R, Moreira A, Amaral L (2007) Extracting the hierarchical organization of complex systems. Proc Natl Acad Sci USA 104:15224-15229.
13. Arenas A, Diaz-Guilera A, Perez-Vicente C (2006) Synchronization reveals topological scales in complex networks. Phys Rev Lett 96:114102.
14. Plerou V, et al. (2002) A random matrix approach to financial cross-correlations. Phys Rev E 66:066126.
15. Plerou V, Gopikrishnam P, Rosenow B, Amaral L, Stanley HE (1999) Universal and non-universal properties of cross-correlations in financial time series. Phys Rev Lett 83:1471.
16. Stanley HE, et al. (2002) Self-organized complexity in economics and finance. Proc Natl Acad Sci USA 99(Suppl):2561-2565.
17. Laloux L, Cizeau P, Bouchaud JP, Potters M (1999) Noise dressing of financial correlation matrices. Phys Rev Lett 83:1467.
18. Kim DH, Jeong H (2005) Systematic analysis of group identification in stock markets. Phys Rev E 72:046133.
19. Ng A, Jordan M, Weiss Y (2001) Advances in Neural Information Processing Systems 14, eds Dietterich T, Becker S, Ghahramani Z, (MIT Press, Cambridge, MA), pp 849-856.
20. Khandani AE, Lo AW (2007) What happened to the quants in August 2007? Available at http://ssrn.com/abstract=1015987. Accessed October, 2007.
21. Duda RO, Hart PE, Stork DG (1996) Pattern Classification (Wiley Interscience, New York).
22. Murphy JJ (2004) Intermarket Analysis: Profiting from Global Market Relationships. (John Wiley and Sons, New York) pp 200-215.
23. Fortune S (1992) In Computing in Euclidean Geometry, Lecture Notes Series on Computing, Volume 1, eds Du D-Z, Hwang F (World Scientific, Singapore) pp 193-233.
24. Zomorodian A, Carlsson G (2004) In Proceedings of the Twentieth Annual Symposium on Computational Geometry (ACM, New York) pp 347-356.
25. Ghrist R (2008) Barcodes: The persistent topology of data. Bull Am Math Soc 45:61-75.