Self-organized critical topology of stock markets

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We have analyzed the cross-correlations of daily fluctuations for N=6 358 US stock prices during the year 1999. From those N(N-1)/2 correlations coefficients, the Minimum Spanning Tree (MST) has been built. We have investigated the topology exhibited by the MST. Eventhough the average topological number is <n > ≈ 2, the variance σ of the topological distribution f(n) diverges. More precisely, we have found that f(n) n⁻².² holding over two decades. We have studied the topological correlations for neighbouring nodes: an extremely broad set of local configurations exists, confirming the divergence of σ.