{"id":"https://openalex.org/W1671607941","doi":"https://doi.org/10.1103/physreve.88.012806","title":"Evolution of correlation structure of industrial indices of U.S. equity markets","display_name":"Evolution of correlation structure of industrial indices of U.S. equity markets","publication_year":2013,"publication_date":"2013-07-08","ids":{"openalex":"https://openalex.org/W1671607941","doi":"https://doi.org/10.1103/physreve.88.012806","mag":"1671607941","pmid":"https://pubmed.ncbi.nlm.nih.gov/23944517"},"language":"en","primary_location":{"id":"doi:10.1103/physreve.88.012806","doi":"https://doi.org/10.1103/physreve.88.012806","is_oa":false,"landing_page_url":"https://doi.org/10.1103/physreve.88.012806","pdf_url":null,"source":{"id":"https://openalex.org/S35412551","display_name":"Physical Review E","issn_l":"1539-3755","issn":["1539-3755","1550-2376"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","vabb-shw"],"host_organization":"https://openalex.org/P4310320261","host_organization_name":"American Physical Society","host_organization_lineage":["https://openalex.org/P4310320261"],"host_organization_lineage_names":["American Physical Society"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Physical Review E","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite","pubmed"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1306.4769","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5047655755","display_name":"Giuseppe Buccheri","orcid":"https://orcid.org/0000-0003-4646-2393","observed_orcids":["https://orcid.org/0000-0003-4646-2393"]},"institutions":[{"id":"https://openalex.org/I39063666","display_name":"University of Catania","ror":"https://ror.org/03a64bh57","country_code":"IT","type":"education","lineage":["https://openalex.org/I39063666"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Giuseppe Buccheri","raw_affiliation_strings":["Scuola Superiore di Catania, 95123 Catania, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Scuola Superiore di Catania, 95123 Catania, Italy","institution_ids":["https://openalex.org/I39063666"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082254539","display_name":"Stefano Marmi","orcid":"https://orcid.org/0000-0001-5105-8876","observed_orcids":["https://orcid.org/0000-0001-5105-8876"]},"institutions":[{"id":"https://openalex.org/I157210198","display_name":"Scuola Normale Superiore","ror":"https://ror.org/03aydme10","country_code":"IT","type":"education","lineage":["https://openalex.org/I157210198"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Stefano Marmi","raw_affiliation_strings":["C.N.R.S. UMI 3483, Laboratorio Fibonacci, Piazza dei Cavalieri 7, 56126 Pisa, Italy","Scuola Normale Superiore di Pisa, Piazza dei Cavalieri 7, 56126 Pisa, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"C.N.R.S. UMI 3483, Laboratorio Fibonacci, Piazza dei Cavalieri 7, 56126 Pisa, Italy","institution_ids":[]},{"raw_affiliation_string":"Scuola Normale Superiore di Pisa, Piazza dei Cavalieri 7, 56126 Pisa, Italy","institution_ids":["https://openalex.org/I157210198"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068695616","display_name":"Rosario N. Mantegna","orcid":"https://orcid.org/0000-0003-4177-171X","observed_orcids":["https://orcid.org/0000-0003-4177-171X"]},"institutions":[{"id":"https://openalex.org/I198945027","display_name":"Central European University","ror":"https://ror.org/02zx40v98","country_code":"AT","type":"education","lineage":["https://openalex.org/I198945027"]},{"id":"https://openalex.org/I900890020","display_name":"University of Palermo","ror":"https://ror.org/044k9ta02","country_code":"IT","type":"education","lineage":["https://openalex.org/I900890020"]}],"countries":["AT","IT"],"is_corresponding":false,"raw_author_name":"Rosario N. Mantegna","raw_affiliation_strings":["Center for Network Science and Department of Economics, Central European University, Nador 9, H-1051 Budapest, Hungary","Dipartimento di Fisica e Chimica, Universit\u00e0 di Palermo, Viale delle Scienze, Ed. 18, I-90128 Palermo, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Network Science and Department of Economics, Central European University, Nador 9, H-1051 Budapest, Hungary","institution_ids":["https://openalex.org/I198945027"]},{"raw_affiliation_string":"Dipartimento di Fisica e Chimica, Universit\u00e0 di Palermo, Viale delle Scienze, Ed. 18, I-90128 Palermo, Italy","institution_ids":["https://openalex.org/I900890020"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":16.3846,"has_fulltext":true,"cited_by_count":66,"citation_normalized_percentile":{"value":0.98780391,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"88","issue":"1","first_page":"012806","last_page":"012806"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0010999999940395355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10064","display_name":"Complex Network Analysis Techniques","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/correlation-networks","display_name":"correlation networks","score":0.5619999766349792},{"id":"https://openalex.org/keywords/correlation-matrix-eigenvalues","display_name":"correlation matrix eigenvalues","score":0.7509999871253967},{"id":"https://openalex.org/keywords/diversification","display_name":"diversification","score":0.8040000200271606},{"id":"https://openalex.org/keywords/dot-com-bubble","display_name":"dot-com bubble","score":0.8889999985694885},{"id":"https://openalex.org/keywords/subprime-mortgage-crisis","display_name":"subprime crisis","score":0.9660000205039978},{"id":"https://openalex.org/keywords/financial-contagion","display_name":"financial contagion","score":0.46299999952316284},{"id":"https://openalex.org/keywords/us-equity-market","display_name":"US equity market","score":0.6700000166893005}],"concepts":[{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6875430941581726},{"id":"https://openalex.org/C117220453","wikidata":"https://www.wikidata.org/wiki/Q5172842","display_name":"Correlation","level":2,"score":0.5995135307312012},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4940522015094757},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4599543809890747},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3798644244670868},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2879559099674225},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.14776015281677246},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.08115309476852417},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":9,"locations":[{"id":"doi:10.1103/physreve.88.012806","doi":"https://doi.org/10.1103/physreve.88.012806","is_oa":false,"landing_page_url":"https://doi.org/10.1103/physreve.88.012806","pdf_url":null,"source":{"id":"https://openalex.org/S35412551","display_name":"Physical Review E","issn_l":"1539-3755","issn":["1539-3755","1550-2376"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","vabb-shw"],"host_organization":"https://openalex.org/P4310320261","host_organization_name":"American Physical Society","host_organization_lineage":["https://openalex.org/P4310320261"],"host_organization_lineage_names":["American Physical Society"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Physical Review E","raw_type":"journal-article"},{"id":"pmid:23944517","doi":null,"is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/23944517","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Physical review. E, Statistical, nonlinear, and soft matter physics","raw_type":"Journal Article"},{"id":"pmh:oai:RePEc:arx:papers:1306.4769","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/1306.4769","pdf_url":"http://arxiv.org/pdf/1306.4769","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1306.4769","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1306.4769","pdf_url":"https://arxiv.org/pdf/1306.4769","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"mag:3123380960","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:arx:papers:1306.4769","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:art.torvergata.it:2108/253275","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/2108/253275","pdf_url":null,"source":{"id":"https://openalex.org/S4306400993","display_name":"Cineca Institutional Research Information System (Tor Vergata University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I116067653","host_organization_name":"University of Rome Tor Vergata","host_organization_lineage":["https://openalex.org/I116067653"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:iris.unipa.it:10447/96327","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10447/96327","pdf_url":null,"source":{"id":"https://openalex.org/S4306401065","display_name":"Nova Science Publishers (Nova Science Publishers, Inc.)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:ricerca.sns.it:11384/7548","doi":null,"is_oa":false,"landing_page_url":"http://link.aps.org/doi/10.1103/PhysRevE.88.012806","pdf_url":null,"source":{"id":"https://openalex.org/S7407050981","display_name":"Scuola Normale Superiore di Pisa","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"doi:10.48550/arxiv.1306.4769","doi":"https://doi.org/10.48550/arxiv.1306.4769","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1306.4769","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1306.4769","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1306.4769","pdf_url":"https://arxiv.org/pdf/1306.4769","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/9","score":0.5899999737739563,"display_name":"Industry, innovation and infrastructure"}],"study_designs":[],"awards":[{"id":"https://openalex.org/G3207356259","display_name":null,"funder_award_id":"2007\u20132013","funder_id":"https://openalex.org/F4320320300","funder_display_name":"European Commission"},{"id":"https://openalex.org/G393177772","display_name":null,"funder_award_id":"FP7 2007-2013","funder_id":"https://openalex.org/F4320320300","funder_display_name":"European Commission"},{"id":"https://openalex.org/G4358921014","display_name":null,"funder_award_id":"ICT-2011","funder_id":"https://openalex.org/F4320320300","funder_display_name":"European Commission"},{"id":"https://openalex.org/G5702163051","display_name":null,"funder_award_id":"FP7/2007","funder_id":"https://openalex.org/F4320320300","funder_display_name":"European Commission"},{"id":"https://openalex.org/G6640554331","display_name":"Complexity Research Initiative for Systemic InstabilitieS","funder_award_id":"288501","funder_id":"https://openalex.org/F4320320300","funder_display_name":"European Commission"}],"funders":[{"id":"https://openalex.org/F4320320300","display_name":"European Commission","ror":"https://ror.org/00k4n6c32"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1671607941.pdf","grobid_xml":"https://content.openalex.org/works/W1671607941.grobid-xml"},"referenced_works_count":27,"referenced_works":["https://openalex.org/W1588598992","https://openalex.org/W1812558952","https://openalex.org/W1813708725","https://openalex.org/W1875112053","https://openalex.org/W1981978859","https://openalex.org/W1983595574","https://openalex.org/W1995996823","https://openalex.org/W2004596285","https://openalex.org/W2030210484","https://openalex.org/W2062125287","https://openalex.org/W2075396839","https://openalex.org/W2078483536","https://openalex.org/W2081082758","https://openalex.org/W2086799485","https://openalex.org/W2089954894","https://openalex.org/W2094688862","https://openalex.org/W2100422602","https://openalex.org/W2118420968","https://openalex.org/W2127048411","https://openalex.org/W2135282243","https://openalex.org/W2138144286","https://openalex.org/W2147675445","https://openalex.org/W2164998314","https://openalex.org/W2170100509","https://openalex.org/W3103441631","https://openalex.org/W3122143593","https://openalex.org/W4238452917"],"related_works":["https://openalex.org/W3122143593","https://openalex.org/W2952377272","https://openalex.org/W3102377567","https://openalex.org/W3121379895","https://openalex.org/W2950588493","https://openalex.org/W4313655253","https://openalex.org/W1802153621","https://openalex.org/W969726326","https://openalex.org/W3103441631","https://openalex.org/W7219921367"],"abstract_inverted_index":{"We":[0,64],"investigate":[1],"the":[2,27,49,67,99,133,144,159,165,172,182,186,192],"dynamics":[3,82,114,146],"of":[4,9,12,26,96,98,106,155,164,188,191],"correlations":[5],"present":[6],"between":[7,69],"pairs":[8],"industry":[10,37,70],"indices":[11,71],"U.S.":[13,17],"stocks":[14],"traded":[15],"in":[16,103,158],"markets":[18],"by":[19,34,42],"studying":[20],"correlation-based":[21],"networks":[22],"and":[23,45,76,132,161,181],"spectral":[24],"properties":[25],"correlation":[28,68,145,166],"matrix.":[29,167],"The":[30,80,121,168],"study":[31],"is":[32,101,127,137],"performed":[33],"using":[35],"49":[36],"index":[38],"time":[39,50,85,123,130,135,140],"series":[40],"computed":[41],"K.":[43],"French":[44],"E.":[46],"Fama":[47],"during":[48,171,185],"period":[51,136,187],"from":[52],"July":[53],"1969":[54],"to":[55,151,178,198],"December":[56],"2011,":[57],"which":[58],"spans":[59],"more":[60],"than":[61,88],"40":[62],"years.":[63],"show":[65],"that":[66,92],"presents":[72],"both":[73],"a":[74,77,84,93,112,128,138],"fast":[75,113,122,156],"slow":[78,81],"dynamics.":[79],"has":[83],"scale":[86,124,131],"longer":[87],"5":[89],"years,":[90],"showing":[91],"different":[94,104],"degree":[95],"diversification":[97],"investment":[100],"possible":[102],"periods":[105],"time.":[107],"Moreover,":[108],"we":[109,125,148],"also":[110],"detect":[111,152],"associated":[115],"with":[116],"exogenous":[117],"or":[118],"endogenous":[119],"events.":[120],"use":[126],"monthly":[129],"evaluation":[134],"3-month":[139],"period.":[141],"By":[142],"investigating":[143],"monthly,":[147],"are":[149],"able":[150],"two":[153],"examples":[154],"variations":[157],"first":[160,169],"second":[162,183],"eigenvalue":[163],"occurs":[170,184],"dot-com":[173],"bubble":[174],"(from":[175,195],"March":[176],"1999":[177],"April":[179],"2001)":[180],"highest":[189],"impact":[190],"subprime":[193],"crisis":[194],"August":[196,199],"2008":[197],"2009).":[200]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":5},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":7},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":9},{"year":2015,"cited_by_count":10},{"year":2014,"cited_by_count":2}],"updated_date":"2026-11-01T11:40:01.658920","created_date":"2016-06-24T00:00:00"}
