Dynamics and Structure of the Main Italian Companies
Juan Gabriel Brida
Free University of Bolzano
Wiston Adrián Risso
University of Siena - Department of Economics
June 3, 2011
International Journal of Modern Physics C (Computational Physics and Physical Computation), Vol. 18, No. 11, pp. 1783–1793, 2007
Financial Markets can be modeled as complex systems. The Hugh quantity and different information affecting these markets is a remarked characteristic. However some of this information can be recover by constructing a topology of the market. We develop a symbolic method in order to study relationships in the financial markets by constructing Minimal Spanning Tree (MST) and Hierarchical Tree (HT). Method is successfully applied to the Italian Financial market detecting clusters with economic sense. This classification is helpful in portfolio construction and studying industrial networks.
Number of Pages in PDF File: 11
Keywords: Symbolic Time Series Analysis, Cluster Analysis, Financial Asset Returns
JEL Classification: C10, C14, G10Accepted Paper Series
Date posted: September 22, 2007 ; Last revised: June 5, 2011
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