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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 [1].
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.
[1] G. Cuniberti and L. Matassini, Eur. J. Phys B
20, 561 (2001).
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Prof. Dr. Gianaurelio Cuniberti
secretariat:
postal address:
Institute for Materials Science
TU Dresden
01062 Dresden, Germany
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