Tse, Chi K.; Liu, Jing; Lau, Francis C.M. - In: Journal of Empirical Finance 17 (2010) 4, pp. 659-667
Complex networks are constructed to study correlations between the closing prices for all US stocks that were traded over two periods of time (from July 2005 to August 2007; and from June 2007 to May 2009). The nodes are the stocks, and the connections are determined by cross correlations of the...