Clustering and information in correlation based financial networks
نویسندگان
چکیده
منابع مشابه
Correlation, Hierarchies, and Networks in Financial Markets
We discuss methods to quantitatively investigate the properties of correlation matrices of a financial system. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation-based trees and networks from a correlati...
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ژورنال
عنوان ژورنال: The European Physical Journal B - Condensed Matter
سال: 2004
ISSN: 1434-6028,1434-6036
DOI: 10.1140/epjb/e2004-00128-7