Related papers: Relation between Financial Market Structure and th…

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…

We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory…

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…

Nowadays, financial data analysis is becoming increasingly important in the business market. As companies collect more and more data from daily operations, they expect to extract useful knowledge from existing collected data to help make…

We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…

We aim to cluster financial assets in order to identify a small set of stocks to approximate the level of diversification of the whole universe of stocks. We develop a data-driven approach to clustering based on a correlation blockmodel in…

The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build…

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…

Hierarchical clustering is a popular unsupervised data analysis method. For many real-world applications, we would like to exploit prior information about the data that imposes constraints on the clustering hierarchy, and is not captured by…

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…

We give complete algorithms and source code for constructing (multilevel) statistical industry classifications, including methods for fixing the number of clusters at each level (and the number of levels). Under the hood there are…

Clustering can be used to extract insights from data or to verify some of the assumptions held by the domain experts, namely data segmentation. In the literature, few methods can be applied in clustering qualitative values using the context…

We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock portfolio which contains companies from different industrial…

The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…

Hierarchical clustering is an important technique to organize big data for exploratory data analysis. However, existing one-size-fits-all hierarchical clustering methods often fail to meet the diverse needs of different users. To address…

There are many clustering methods, such as hierarchical clustering method. Most of the approaches to the clustering of variables encountered in the literature are of hierarchical type. The great majority of hierarchical approaches to the…

Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…

In this paper we offer a new perspective on the well established agglomerative clustering algorithm, focusing on recovery of hierarchical structure. We recommend a simple variant of the standard algorithm, in which clusters are merged by…

In this paper, we explore the detection of clusters of stocks that are in synergy in the Indian Stock Market and understand their behaviour in different circumstances. We have based our study on high frequency data for the year 2014. This…

We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…