Dresden 2006 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.11: Poster

Mittwoch, 29. März 2006, 16:00–18:00, P2

Dynamics of correlations from a FTSE100 portfolio — •Ricardo Coelho, Stefan Hutzler, Przemyslaw Repetowicz, and Peter Richmond — School of Physics, Trinity College, University of Dublin

In the last years many studies were made about Financial Markets and their topology. We study time series of daily data of stocks belonging to FTSE100 and compute the correlations between them. Using the concept of distance introduced by Mantegna [1], we then compute Minimal Spanning Trees for this data. We find these trees much less clustered than the Minimal Spanning Trees that we obtained from treating the logarithmic returns as random numbers from a Gaussian distribution. We also study the mean correlation and variance of the correlations as a function of time and with varying window sizes. As in [2] we find that these two moments appear to be strongly correlated with each other. This may be understood with the help of a simple analytic model based on the concept of moving averages.

[1] R. N. Mantegna, Eur. Phys. J. B 11, 193 (1999)

[2] J.-P. Onnela, A. Chakraborti, K. Kaski, J. Kertesz and A. Kanto, Phys. Rev. E 68, 056110 (2003)