Skip to main content
Kent Academic Repository

The use of dynamical networks to detect the hierarchical organization of financial market sectors

Di Matteo, T., Pozzi, Francesca, Aste, Tomaso (2010) The use of dynamical networks to detect the hierarchical organization of financial market sectors. European Physical Journal B: Condensed Matter and Complex Systems, 73 (1). pp. 3-11. ISSN 1434-6028. (doi:10.1140/epjb/e2009-00286-0) (KAR id:29171)


Two kinds of filtered networks: minimum spanning trees (MSTs) and planar maximally filtered graphs (PMFGs) are constructed from dynamical correlations computed over a moving window. We study the evolution over time of both hierarchical and topological properties of these graphs in relation to market fluctuations. We verify that the dynamical PMFG preserves the same hierarchical structure as the dynamical MST, providing in addition a more significant and richer structure, a stronger robustness and dynamical stability. Central and peripheral stocks are differentiated by using a combination of different topological measures. We find stocks well connected and central; stocks well connected but peripheral; stocks poorly connected but central; stocks poorly connected and peripheral. It results that the Financial sector plays a central role in the entire system. The robustness, stability and persistence of these findings are verified by changing the time window and by performing the computations on different time periods. We discuss these results and the economic meaning of this hierarchical positioning.

Item Type: Article
DOI/Identification number: 10.1140/epjb/e2009-00286-0
Subjects: Q Science
Divisions: Divisions > Division of Natural Sciences > Physics and Astronomy
Depositing User: Tomaso Aste
Date Deposited: 20 Mar 2012 16:21 UTC
Last Modified: 16 Nov 2021 10:07 UTC
Resource URI: (The current URI for this page, for reference purposes)

University of Kent Author Information

Aste, Tomaso.

Creator's ORCID:
CReDIT Contributor Roles:
  • Depositors only (login required):

Total unique views for this document in KAR since July 2020. For more details click on the image.