Correlation, Hierarchies, and Networks in Financial Markets

@article{Tumminello2009CorrelationHA,
  title={Correlation, Hierarchies, and Networks in Financial Markets},
  author={M. Tumminello and F. Lillo and R. Mantegna},
  journal={ERN: Other Econometrics: Econometric \& Statistical Methods (Topic)},
  year={2009}
}
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically… Expand
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