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Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach

Adam Sienkiewicz 1Tomasz Gubiec 1Ryszard Kutner 1Zbigniew R. Struzik 2

1. Faculty of Physics, University of Warsaw (FPUW), Pasteura 5, Warsaw 02-093, Poland
2. The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan


We study the crash dynamics of the Warsaw Stock Exchange (WSE) by using the Minimal Spanning Tree (MST) networks. We find the transition of the complex network during its evolution from a (hierarchical) power law MST network, representing the stable state of WSE before the recent worldwide financial crash, to a superstar-like (or superhub) MST network of the market decorated by a hierarchy of trees (being, perhaps, an unstable, intermediate market state). Subsequently, we observed a transition from this complex tree to the topology of the (hierarchical) power law MST network decorated by several star-like trees or hubs. This structure and topology represent, perhaps, the WSE after the worldwide financial crash, and could be considered to be an aftershock. Our results can serve as an empirical foundation for a future theory of dynamic structural and topological phase transitions on financial markets.

arXiv:1301.6506 [q-fin.ST]


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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: 2016-03-27 23:34
Revised:   2016-03-27 23:39