Skip to content.

TUD

search  |  internal  |  deutsch
Personal tools
TU Dresden » Faculty of Mechanical Science and Engineering » Institute for Materials Science » Chair of Materials Science and Nanotechnology

For a complete list, check out Google Scholar.

prev/next pubs | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996

[back]


15. 


Asset-asset interactions and clustering in financial markets



G. Cuniberti, M. Porto, and E. H. Roman

Physica A 299, 262 (2001)

The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental changes due to a `heat bath' acting on the many-asset system, quantitatively described in terms of a time dependent effective temperature. The remaining intrinsic properties can be widely investigated by applying standard methods of classical many body systems. As an example, we consider a large set of stocks traded at the NYSE and determine the corresponding asset-asset `interaction' potential. In order to investigate in more detail the cluster structure suggested by the short distance behavior of the interaction potential, we perform a connectivity analysis of the spatial distribution of the particle system. In this way, we are able to draw conclusions on the intrinsic cluster persistency independently of the specific market conditions.



online .pdf paper (for personal use only)online .pdf paper (for personal use only)
doi absolute link10.1016/S0378-4371(01)00304-1
online abstract at the publisher site
publisher site
online abstractarXiv preprint: cond-mat/0109026
CiteBaseCiteBase
mpi-pks/0103009
export BibTeX citation (txt file)
export EndNote citation (ris file)


prev/next 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996

[back]



















































last modified: 2017.10.02 Mo
author: webadmin

contact
Prof. Dr. Gianaurelio Cuniberti
secretariat:
Ms Sylvi Katzarow
phone: +49 (0)351 463-31420
fax: +49 (0)351 463-31422
office@nano.tu-dresden.de
postal address:
Institute for Materials Science
TU Dresden
01062 Dresden, Germany
visitors and courier address:
HAL building
TU Dresden
Hallwachsstr. 3
01069 Dresden, Germany
Max Bergmann Center
TU Dresden
Budapester Str. 27
01069 Dresden, Germany