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 efficient in filtering relevant information about the clustering of the system and its hierarchical structure both on the whole system and within each cluster. In particular, we have found that triangular loops and 4 element cliques have important and significant relations with the market structure and properties. Here we apply this filtering procedure to the analysis of correlation in two different kind of interest rate time series
Aste, T., DI MATTEO, T., Tumminello, M., & Mantegna, R. (2005). Correlation filtering in financial time series. In Proceedings of Spie: Noise and Fluctuations in Econophysics and Finance (pp.100-109). BELLINGHAM, WASHINGTON : SPIE.
Autori: | Aste, T.; DI MATTEO, T.; Tumminello, M.; Mantegna, R. |
Titolo: | Correlation filtering in financial time series |
Nome del convegno: | Noise and Fluctuations in Econophysics and Finance |
Luogo del convegno: | Austin, Texas, USA |
Anno del convegno: | 24-26 May 2005 |
Data di pubblicazione: | 2005 |
Numero di pagine: | 10 |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1117/12.619185 |
Citazione: | Aste, T., DI MATTEO, T., Tumminello, M., & Mantegna, R. (2005). Correlation filtering in financial time series. In Proceedings of Spie: Noise and Fluctuations in Econophysics and Finance (pp.100-109). BELLINGHAM, WASHINGTON : SPIE. |
Tipologia: | 0 - Proceedings (TIPOLOGIA NON ATTIVA) |
Appare nelle tipologie: | 0 - Proceedings (TIPOLOGIA NON ATTIVA) |