Related papers: Correlation filtering in financial time series

Association rules are useful to discover relationships, which are mostly hidden, between the different items in large datasets. Symbolic models are the principal tools to extract association rules. This basic technique is time-consuming,…

This text investigates relations between two well-known family of algorithms, matrix factorisations and recursive linear filters, by describing a probabilistic model in which approximate inference corresponds to a matrix factorisation…

Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description of the structure and dynamics of correlations. From…

Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show, in numerical tests, that our methods compare favourably to the existing methods in the literature. The connection with…

The data mining technique of time series clustering is well established in many fields. However, as an unsupervised learning method, it requires making choices that are nontrivially influenced by the nature of the data involved. The aim of…

This paper examines the applicability of Random Matrix Theory to portfolio management in finance. Starting from a group of normally distributed stochastic processes with given correlations we devise an algorithm for removing noise from the…

Financial inclusion ensures that individuals have access to financial products and services that meet their needs. As a key contributing factor to economic growth and investment opportunity, financial inclusion increases consumer spending…

We propose a new method for hierarchical clustering based on the optimisation of a cost function over trees of limited depth, and we derive a message--passing method that allows to solve it efficiently. The method and algorithm can be…

The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insights. However, in those cases data need…

We investigate the properties of correlation based networks originating from economic complex systems, such as the network of stocks traded at the New York Stock Exchange (NYSE). The weaker links (low correlation) of the system are found to…

Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…

Motivated by extracting and summarizing relevant information in short sentence settings, such as satisfaction questionnaires, hotel reviews, and X/Twitter, we study the problem of clustering words in a hierarchical fashion. In particular,…

The past few years has witnessed the great success of recommender systems, which can significantly help users find relevant and interesting items for them in the information era. However, a vast class of researches in this area mainly focus…

Percolation theory can be used to describe the structural properties of complex networks using the generating function formulation. This mapping assumes that the network is locally tree-like and does not contain short-range loops between…

The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eigenvalues can be used to identify the market mode, sectors and…

We propose an efficient linear-time graph-based divisive cluster analysis approach called Reductive Clustering. The approach tries to reveal the hierarchical structural information through reducing the graph into a more concise one…

In this paper we use wavelet concepts to show that correlation coefficient between two financial data's is not constant but varies with scale from high correlation value to strongly anti-correlation value This studies is important because…

The principle of similarity, or homophily, is often used to explain patterns observed in complex networks such as transitivity and the abundance of triangles (3-cycles). However, many phenomena from division of labor to protein-protein…

Motivated by the problem of computing investment portfolio weightings we investigate various methods of clustering as alternatives to traditional mean-variance approaches. Such methods can have significant benefits from a practical point of…

Correlation Clustering is a fundamental and widely-studied problem in unsupervised learning and data mining. The input is a graph and the goal is to construct a clustering minimizing the number of inter-cluster edges plus the number of…