Global and Local Dynamics in Correlated Systems

author: Tiziana Di Matteo, Department of Applied Mathematics, Australian National University
published: Dec. 14, 2007,   recorded: October 2007,   views: 4748


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In this talk, we will show results concerning the characterization and visualization of correlations in financial systems by means of network analysis [1-4]. We will discuss results from the application of a new method which is able to construct complex graphs from cross-correlation matrices. Dynamical changes in the local topology and hierarchy of these graphs are detected and related to markets fluctuations [5]. [1] T. Aste, T. Di Matteo, S. T. Hyde, Physica A 346 (2005) 20-26; [2] M. Tumminello, T. Aste, T. Di Matteo, R. N. Mantegna, PNAS 102, n. 30 (2005) 10421 10426; [3] T. Aste and T. Di Matteo, Physica A 370 (2006) 156-161; [4] M. Tumminello, T. Aste, T. Di Matteo, and R. N. Mantegna, EPJB 55 (2007) 209-217; [5] F. Pozzi, T. Di Matteo, T. Aste, in preparation (2007).

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