Hierarchical organization and disassortative mixing of correlation-based weighted financial networks

International Journal of Modern Physics C

Volumn 21, Issue 3, 2010, Pages 433-441

  Cai, Shi Min ^a,b   Zhou, Yan Bo ^b   Zhou, Tao ^a,b   Zhou, Pei Ling ^a  

^a UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA   (China)

^b UNIVERSITY OF FRIBOURG   (Switzerland)

Author keywords

Correlation matrix; Disassortative mixing; Hierarchical structure; Power law; Weighted financial networks

Indexed keywords

EID: 77951553399     PISSN: 01291831     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0129183110015208     Document Type: Article

References (35)

1. D. J. Watts and H. Strogatz, Nature 393, 440 (1998).
2. A. L. Barabási and R. Albert, Science 286, 509 (1999).
3. A. Barrat, M. Barthélemy, R. Pastor-Satorras and A. Vespignani, Proc. Natl. Acad. Sci. USA 101, 3747 (2004).
4. W. Li and X. Cai, Phys. Rev. E 69, 046106 (2004).
5. R. Guimera, S. Mossa, A. Turtschi and L. A. N. Amaral, Proc. Natl. Acad. Sci. USA 102, 7794 (2005).
6. K. I. Goh, B. Kahng and D. Kim, Phys. Rev. E 72, 017103 (2005).
7. A. Barrat, M. Barthélemy and A. Vespignani, Phys. Rev. Lett. 92, 228701 (2004).
8. W. X. Wang, B. Hu, T. Zhou, B. H. Wang and Y. B. Xie, Phys. Rev. E 72, 046140 (2005).
9. W. X. Wang, B. Hu, B. H. Wang and G. Yan, Phys. Rev. E 73, 016133 (2006).
10. Y. B. Zhou, S. M. Cai, W. X. Wang and P. L. Zhou, Physica A 388, 999 (2009).
11. R. N. Mantegna and H. E. Stanley, An Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambridge, UK, 1999).
12. J. P. Bouchaud and M. Potter, Theory of Financial Risk (Cambridge University Press, Cambridge, UK, 1999).
13. D. Sornette, Why Stock Markets Crash: Critical Events in Complex Financial Systems (Princeton University Press, USA, 2003).
14. D. Challet, M. Marsili and Y. C. Zhang, Minority Game (Oxford University Press, UK, 2005).
15. R. N. Mantegna and H. E. Stanley, Nature 376, 46 (1995).
16. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C. K. Peng and H. E. Stanley, Phys. Rev. E 59, 1390 (1999).
17. P. Gopikrishnan, V. Plerou, L. A. N. Amaral, M. Meyer and H. E. Stanley, Phys. Rev. E 60, 5305 (1999).
18. B. H. Wang and P. M. Hui, Eur. Phys. J. B 20, 573 (2000).
19. W. X. Zhou and D. Sornette, Int. J. Mod. Phys. C 13, 137 (2002).
20. S. M. Cai, P. L. Zhou, C. X. Yang, H. J. Yang, B. H. Wang and T. Zhou, Chin. Phys. Lett. 23, 754 (2006).
21. S. M. Cai, P. L. Zhou, H. J. Yang, C. X. Yang, B. H. Wang and T. Zhou, Physica A 367, 337 (2006).
22. G. Caldarelli, M. Marsili and Y. C. Zhang, Europhysics Lett. 40, 479 (1997).
23. T. Lux and M. Marchesi, Nature 397, 0028 (1999).
24. D. Challet, M. Marsili and Y. C. Zhang, Physica A 276, 284 (2000).
25. L. Tesfatsion, Info. Sci. 149, 262 (2003).
26. J. Wang, C. X. Yang, P. L. Zhou, Y. D. Jin, T. Zhou and B. H. Wang, Physica A 354, 505 (2005).
27. W. X. Zhou and D. Sornette, Eur. Phys. J. B 55, 175 (2007).
28. R. N. Mantegna, Eur. Phys. J. B 11, 193 (1999).
29. G. Bonanno, G. Caldarelli, F. Lillo and R. N. Mantegna, Phys. Rev. E 68, 046130 (2003).
30. J. P. Onnela, K. Kaski and J. Kertész, Eur. Phys. J. B 38, 353 (2004).
31. G. Iori and O. V. Precup, Phys. Rev. E 75, 036110 (2007).
32. M. Tumminello, A. Aste, T. D. Matteo and R. N. Mantegna, Proc. Natl. Acad. Sci. USA 102, 10421 (2005).
33. D. H. Kim and H. Jeong, Phys. Rev. E 72, 046133 (2005).
34. M. E. J. Newman, SIAM Rev. 45, 167 (2003).
35. M. Catanzaro, M. Bogunñá and R. Pastor-Satorras, Phys. Rev. E 71, 027103 (2005).