We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large group of stocks traded at the New York Stock Exchange during a 12-year trading period with the one obtained from surrogated data simulated by using simple market models. We find that the empirical tree has features of a complex network that cannot be reproduced, even as a first approximation, by a random market model and by the one-factor model.
@article{arxiv.cond-mat/0211546,
title = {Topology of correlation based minimal spanning trees in real and model markets},
author = {Giovanni Bonanno and Guido Caldarelli and Fabrizio Lillo and and Rosario N. Mantegna},
journal= {arXiv preprint arXiv:cond-mat/0211546},
year = {2009}
}