A review of two decades of correlations, hierarchies, networks and clustering in financial markets
We review the state of the art of clustering financial time series and the study of their
correlations alongside other interaction networks. The aim of the review is to gather in one …
correlations alongside other interaction networks. The aim of the review is to gather in one …
Cluster analysis for portfolio optimization
We consider the problem of the statistical uncertainty of the correlation matrix in the
optimization of a financial portfolio. By assuming idealized conditions of perfect forecast …
optimization of a financial portfolio. By assuming idealized conditions of perfect forecast …
A fractional calculus interpretation of the fractional volatility model
R Vilela Mendes - Nonlinear Dynamics, 2009 - Springer
Based on criteria of mathematical simplicity and consistency with empirical market data, a
model with volatility driven by fractional noise has been constructed which provides a fairly …
model with volatility driven by fractional noise has been constructed which provides a fairly …
The topology of cross-border exposures: beyond the minimal spanning tree approach
The recent financial crisis has stressed the need to understand financial systems as
networks of interdependent countries, where cross-border financial linkages play the …
networks of interdependent countries, where cross-border financial linkages play the …
The specific shapes of gender imbalance in scientific authorships: A network approach
T Araújo, E Fontainha - Journal of Informetrics, 2017 - Elsevier
Gender differences in collaborative research have received little attention when compared
with the growing importance that women hold in academia and research. Unsurprisingly …
with the growing importance that women hold in academia and research. Unsurprisingly …
The geometry of crashes. A measure of the dynamics of stock market crises
This paper investigates the dynamics of stocks in the S&P 500 index for the last 30 years.
Using a stochastic geometry technique, we investigate the evolution of the market space and …
Using a stochastic geometry technique, we investigate the evolution of the market space and …
Opinion dynamics and communication networks
This paper examines the interplay of opinion exchange dynamics and communication
network formation. An opinion formation procedure is introduced which is based on an …
network formation. An opinion formation procedure is introduced which is based on an …
The choice of an appropriate information dissimilarity measure for hierarchical clustering of river streamflow time series, based on calculated Lyapunov exponent and …
DT Mihailović, E Nikolić-Đorić, S Malinović-Milićević… - Entropy, 2019 - mdpi.com
The purpose of this paper was to choose an appropriate information dissimilarity measure
for hierarchical clustering of daily streamflow discharge data, from twelve gauging stations …
for hierarchical clustering of daily streamflow discharge data, from twelve gauging stations …
The seismography of crashes in financial markets
This Letter investigates the dynamics of stocks in the S&P500 for the last 33 years,
considering the population of all companies present in the index for the whole period. Using …
considering the population of all companies present in the index for the whole period. Using …
Studying the correlation structure based on market geometry
CX Nie - Journal of Economic Interaction and Coordination, 2021 - Springer
Network methods can extract the structure of financial correlation matrices, and market
geometry reconstructs the correlation relationship by constructing a vector set in the …
geometry reconstructs the correlation relationship by constructing a vector set in the …