On clustering and interactions in a financial market
G. Cuniberti , M. Porto, and E. H. Roman.
NATO Advanced Research Workshop on Application of Physics in Economic Modelling
2001.02; Prague, Czech Republic
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,
displaying a shape similar to the one obtained for
DAX stocks .
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.
 G. Cuniberti and L. Matassini, Eur. J. Phys B
20, 561 (2001).
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Prof. Dr. Gianaurelio Cuniberti
Institute for Materials Science
visitors and courier address:
01062 Dresden, Germany