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Extracting the correlation structure by means of planar embedding

Di Matteo, Tiziana; Aste, Tomaso

Description

The hierarchical structure of correlation matrices in complex systems is studied by extracting a significant sub-set of correlations resulting in a planar graph. Such a graph has been generated by a method introduced in Aste et al.1 and it has the same hierarchical structure of the Minimum Spanning Tree but it contains a larger amount of links, loops and cliques. In Tumminello et al.,2 we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Conference paper
URI: http://hdl.handle.net/1885/18216
Source: Proceedings of SPIE Microelectonics, MEMS, and Nanotechnology
DOI: 10.1117/12.637543

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