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Structural and topological phase transitions on the German Stock Exchange 

Ryszard Kutner 1Mateusz J. Wiliński 1Tomasz Gubiec 1Zbigniew R. Struzik 2

1. Uniwersytet Warszawski, Wydział Fizyki, ul. Pasteura 5, Warszawa 02-093, Poland
2. The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan


We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the worldwide financial crash. Using the Minimal Spanning Tree (MST) technique, a particularly useful canonical tool of the graph theory, two transitions of the topology of a complex network representing the FSE were found. The first transition is from a hierarchical scale-free MST representing the stock market before the recent worldwide financial crash, to a superstar-like MST decorated by a scale-free hierarchy of trees representing the market’s state for the period containing the crash. Subsequently, a transition is observed from this transient, (meta)stable state of the crash to a hierarchical scale-free MST decorated by several star-like trees after the worldwide financial crash. The phase transitions observed are analogous to the ones we obtained earlier for the Warsaw Stock Exchange and more pronounced than those found by Onnela–Chakraborti–Kaski–Kertész for the S&P 500 index in the vicinity of Black Monday (October 19, 1987) and also in the vicinity of January 1, 1998. Our results provide an empirical foundation for the future theory of dynamical, structural and topological phase transitions on financial markets.

Physica A 392 (2013), 5963.


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Presentation: Article at Econophysics group of Ryszard Kutner, by Ryszard Kutner
See On-line Journal of Econophysics group of Ryszard Kutner

Submitted: 2016-03-26 21:51
Revised:   2016-03-26 23:29