Skip navigation
Skip navigation

Correlation filtering in financial time series

Aste, Tomaso; Di Matteo, Tiziana; Tumminello, M; Mantegna, R N

Description

We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum Spanning Tree but containing a larger amount of links resulting in a richer network topology allowing loops and cliques. In Tumminello et al., 1 we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Conference paper
URI: http://hdl.handle.net/1885/84312
Source: Proceedings of SPIE Noise and Fluctuations in Econophysics and Finance
DOI: 10.1117/12.619185

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator