Correlation, hierarchies, and networks in financial markets
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: Journal of Economic Behavior & Organization
سال: 2010
ISSN: 0167-2681
DOI: 10.1016/j.jebo.2010.01.004