Extracting the correlation structure by means of planar embedding
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]
|Collections||ANU Research Publications|
|Source:||Proceedings of SPIE Microelectonics, MEMS, and Nanotechnology|
|01_Di Matteo_Extracting_the_correlation_2006.pdf||729.31 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.