Related papers: Correlation filtering in financial time series
Correlation clustering seeks a partition of the vertex set of a given graph/network into groups of closely related, or just close enough, vertices so that elements of different groups are not close to each other. The problem has been…
In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The…
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in…
Hierarchical clustering is a stronger extension of one of today's most influential unsupervised learning methods: clustering. The goal of this method is to create a hierarchy of clusters, thus constructing cluster evolutionary history and…
This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series…
In this paper, based on the coupled social networks (CSN), we propose a hybrid algorithm to nonlinearly integrate both social and behavior information of online users. Filtering algorithm based on the coupled social networks, which…
Network data sets are often constructed by some kind of thresholding procedure. The resulting networks frequently possess properties such as heavy-tailed degree distributions, clustering, large connected components and short average…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
Modeling feature interactions plays a crucial role in accurately predicting click-through rates (CTR) in advertising systems. To capture the intricate patterns of interaction, many existing models employ matrix-factorization techniques to…
Portfolio management is an essential part of investment decision-making. However, traditional methods often fail to deliver reasonable performance. This problem stems from the inability of these methods to account for the unique…
We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in optimization procedures, such as portfolio selection, may…
Community detection is a fundamental task in social network analysis. In this paper, first we develop an endorsement filtered user connectivity network by utilizing Heider's structural balance theory and certain Twitter triad patterns.…
A novel method to obtain hierarchical and overlapping clusters from network data -i.e., a set of nodes endowed with pairwise dissimilarities- is presented. The introduced method is hierarchical in the sense that it outputs a nested…
In this paper, we propose a technique for time series clustering using community detection in complex networks. Firstly, we present a method to transform a set of time series into a network using different distance functions, where each…
Coordinating multi-agent systems requires balancing synchronization performance and controller implementation costs. To this end, we classify agents by their intrinsic properties, enabling each group to be controlled by a uniform controller…
In many applications, it is important to derive information about the topology and the internal connections of dynamical systems interacting together. Examples can be found in fields as diverse as Economics, Neuroscience and Biochemistry.…
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…
We consider a matrix completion problem that exploits social or item similarity graphs as side information. We develop a universal, parameter-free, and computationally efficient algorithm that starts with hierarchical graph clustering and…
A model of correlated random networks is examined, i.e. networks with correlations between the degrees of neighboring nodes. These nodes do not necessarily have to be direct neighbors, the maximum range of the correlations can be…
Time series data, spanning applications ranging from climatology to finance to healthcare, presents significant challenges in data mining due to its size and complexity. One open issue lies in time series clustering, which is crucial for…