Interdependence among financial return series primarily originate from correlation between underlying assets. However, correlation fully describes interdependence only if the financial system behaves linearly and if an assumption of multivariate normal distribution additionally holds true. At the same time, with intrinsic z score normalization, correlation ignores means (expected return) and variances (risk) when calibrating the interdependence. Such oversight raises the significant question of whether security return networks can be realistically modelled and interpreted by market correlations. This paper proposes the Euclidean (dis)similarity metric which enables incorporation of risk and return along with the primary correlation component. We apply this metric to explain the collective behavior of the MSCI world market and compare the results with other correlation networks. Findings show that realized volatility accounts for 71% of the observed topology whereas correlation explains only 29% of market structure. No evidence was found supporting the importance of expected return. Power law exponents and degree distributions reveal that the centrality of hub nodes are considerably higher in the Euclidean as opposed to correlation networks. Accordingly, the importance and influence of central countries (like US and Japan hubs) in the spreading of high volatility is considerably higher than what correlation networks report.

财务收益系列之间的相互依赖性主要源于基础资产之间的相关性。但是，只有在金融系统线性运行且多元正态分布假设成立的情况下，相关性才能充分描述相互依赖性。同时，通过固有的z得分标准化，在校准相互依赖关系时，相关性会忽略均值（预期收益）和方差（风险）。这种监督提出了一个重要的问题，即是否可以通过市场相关性对证券退货网络进行现实地建模和解释。本文提出了欧几里得（非）相似性度量标准，该度量标准能够将风险和回报与主要相关成分结合在一起。我们应用此指标来解释MSCI世界市场的集体行为，并将结果与​​其他相关网络进行比较。结果表明，已实现的波动性占观察到的拓扑结构的71％，而相关性仅解释了市场结构的29％。没有证据支持预期收益的重要性。幂律指数和度数分布表明，与相关网络相比，欧几里得中枢节点的中心性要高得多。因此，中央国家（如美国和日本的枢纽）在高波动性扩散中的重要性和影响力远高于相关网络的报告。结果表明，已实现的波动性占观察到的拓扑结构的71％，而相关性仅解释了市场结构的29％。没有证据支持预期收益的重要性。幂律指数和度数分布表明，与相关网络相比，欧几里得中枢节点的中心性要高得多。因此，中央国家（如美国和日本的枢纽）在高波动性扩散中的重要性和影响力远高于相关网络的报告。结果表明，已实现的波动性占观察到的拓扑结构的71％，而相关性仅解释了市场结构的29％。没有证据支持预期收益的重要性。幂律指数和度数分布表明，与相关网络相比，欧几里得中枢节点的中心性要高得多。因此，中央国家（如美国和日本的枢纽）在高波动性扩散中的重要性和影响力远高于相关网络的报告。