Dynamics and Structure of the Main Italian Companies

International Journal of Modern Physics C (Computational Physics and Physical Computation), Vol. 18, No. 11, pp. 1783–1793, 2007

11 Pages Posted: 22 Sep 2007 Last revised: 5 Jun 2011

Juan Gabriel Brida

Universidad de la República; Free University of Bolzano

Wiston Adrián Risso

University of Siena - Department of Economics

Date Written: June 3, 2011

Abstract

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.

Keywords: Symbolic Time Series Analysis, Cluster Analysis, Financial Asset Returns

JEL Classification: C10, C14, G10

Suggested Citation

Brida, Juan Gabriel and Risso, Wiston Adrián, Dynamics and Structure of the Main Italian Companies (June 3, 2011). International Journal of Modern Physics C (Computational Physics and Physical Computation), Vol. 18, No. 11, pp. 1783–1793, 2007. Available at SSRN: https://ssrn.com/abstract=1016048

Juan Gabriel Brida (Contact Author)

Universidad de la República ( email )

Av. 18 de Julio
Montevideo, 1968
Uruguay

Free University of Bolzano ( email )

Via Sernesi 1
39100 Bolzano
Italy

Wiston Adrián Risso

University of Siena - Department of Economics ( email )

Piazza S. Francesco, 7
Siena, I-53100
Italy
00390577235058 (Phone)

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