Physical Sciences and Mathematics Commons^™

Topological Structures In The Equities Market Network, Gregory Leibon, Scott Pauls, Daniel Rockmore, Robert Savell

Dartmouth Scholarship

We present a new method for articulating scale-dependent topological descriptions of the network structure inherent in many complex systems. The technique is based on “partition decoupled null models,” a new class of null models that incorporate the interaction of clustered partitions into a random model and generalize the Gaussian ensemble. As an application, we analyze a correlation matrix derived from 4 years of close prices of equities in the New York Stock Exchange (NYSE) and National Association of Securities Dealers Automated Quotation (NASDAQ). In this example, we expose (i) a natural structure composed of 2 interacting partitions of …