Seminarium Fizyki Materii Skondensowanej

In this talk I will briefly give a broad overview of the state of the art in Econophysics: a discipline that has already a rich history and even controversial trends [1]. In particular, I will show results concerning the characterization and visualization of correlations in financial systems by means of network theory and I will introduce a new tool to filter relevant information in these systems and to extract the hierarchical structure of the market [2]. I will discuss the economic meaning of the financial market hierarchical structure and its dynamical evolution [3,4]. I will investigate the statistical signatures of the ‘credit crunch’ financial crisis that unfolded between 2008 and 2009 discussing results that show an intriguing trend that highlights a consistently decreasing centrality of the financial sector over the last 10 years [5]. I will also introduce a graph-theoretic approach to extract clusters and hierarchies in complex data- sets in an unsupervised and deterministic manner, without the use of any prior information. Applications to financial data-sets show that industrial sectors and specific activities can be extracted and meaningfully identified from the analysis of the collective fluctuations of prices in an equity market [6]. [1] "Topical Issue: Trends in Econophysics" in EPJB, Vol. 55, No. 2 (2007). [2] M. Tumminello, T. Aste, T. Di Matteo, R. N. Mantegna, PNAS 102, n. 30 (2005) 1 10421. [3] F. Pozzi, T. Di Matteo and T. Aste, Advances in Complex Systems 11 (2008) 927. [4] T. Di Matteo, F. Pozzi, T. Aste, The European Physical Journal B 73 (2010) 3-11. [5] T. Aste, W. Shaw, T. Di Matteo, New J. Phys. 12 (2010) 085009. [6] Won-Min Song, T. Di Matteo and Tomaso Aste, submitted (2011).