Extracting the correlation structure by means of planar embedding

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dc.contributor.authorDi Matteo, Tiziana
dc.contributor.authorAste, Tomaso
dc.coverage.spatialBrisbane Australia
dc.date.accessioned2015-12-07T22:16:49Z
dc.date.createdDecember 11-14 2005
dc.date.issued2006
dc.date.updated2015-12-07T07:57:41Z
dc.description.abstractThe 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 pretty efficient in filtering relevant information about the system clustering revaling the hierarchical organization in the whole system and within each cluster. Here we discuss this filtering correlation procedure and its application to different financial data sets.
dc.identifier.urihttp://hdl.handle.net/1885/18216
dc.publisherSPIE - The International Society for Optical Engineering
dc.relation.ispartofseriesSPIE Microelectronics, MEMS and Nanotechnology Conference 2005
dc.sourceProceedings of SPIE Microelectonics, MEMS, and Nanotechnology
dc.subjectKeywords: Financial data processing; Hierarchical systems; Large scale systems; Matrix algebra; Econophysics; Networks; System clustering; Correlation theory Complex systems; Econophysics; Networks
dc.titleExtracting the correlation structure by means of planar embedding
dc.typeConference paper
local.bibliographicCitation.startpage60390P-1-10
local.contributor.affiliationDi Matteo, Tiziana, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationAste, Tomaso, College of Physical and Mathematical Sciences, ANU
local.contributor.authoremailrepository.admin@anu.edu.au
local.contributor.authoruidDi Matteo, Tiziana, u4044285
local.contributor.authoruidAste, Tomaso, u4044222
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor029902 - Complex Physical Systems
local.identifier.ariespublicationu9210271xPUB3
local.identifier.doi10.1117/12.637543
local.identifier.scopusID2-s2.0-33645230394
local.identifier.uidSubmittedByu9210271
local.type.statusPublished Version

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