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Correlation filtering in financial time series

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


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
Source: Proceedings of SPIE Noise and Fluctuations in Econophysics and Finance
DOI: 10.1117/12.619185


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