Centrality and Peripherality in Filtered Graphs from Dynamical Financial Correlations

Advances in Complex Systems, Vol. 11, No. 6, pp. 927-950, 2008

Posted: 16 Apr 2010 Last revised: 21 Apr 2010

See all articles by Tiziana Di Matteo

Tiziana Di Matteo

Australian National University (ANU) - Department of Applied Mathematics

Tomaso Aste

Australian National University

Francesco Pozzi

The Australian National University

Date Written: December 1, 2008

Abstract

Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic sectors differently populate the various regions of these graphs. We find that the financial sector is always at the center whereas the periphery is shared among different sectors. Four extremes are observed: stocks well-connected and central; stocks well-connected but at the same time peripheral; stocks poorly-connected but central; stocks poorly-connected and peripheral. Two principal components of centrality measures are individuated. The economic meaning of this hierarchical disposition is discussed.

Keywords: Econophysics, networks, minimum spanning tree, planar maximally filtered graph, financial data correlations

Suggested Citation

Di Matteo, Tiziana and Aste, Tomaso and Pozzi, Francesco, Centrality and Peripherality in Filtered Graphs from Dynamical Financial Correlations (December 1, 2008). Advances in Complex Systems, Vol. 11, No. 6, pp. 927-950, 2008. Available at SSRN: https://ssrn.com/abstract=1512367

Tiziana Di Matteo (Contact Author)

Australian National University (ANU) - Department of Applied Mathematics ( email )

Canberra, Australian Capital Territory 0200
Australia

Tomaso Aste

Australian National University ( email )

Canberra, Australian Capital Territory 2601
Australia

Francesco Pozzi

The Australian National University ( email )

Canberra, Australian Capital Territory 2601
Australia

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