相关论文: Spanning Trees and bootstrap reliability estimatio…

We describe two different bootstrap methods applied to the detection of a minimum spanning tree obtained from a set of multivariate variables. We show that two different bootstrap procedures provide partly distinct information that can be…

In recent years there has been a paradigm shift from the study of local task-related activation to the organization and functioning of large-scale functional and structural brain networks. However, a long-standing challenge in this…

We study correlations of a set of stocks selected from both the New York and London stock exchanges. Results are displayed using both Random Matrix Theory approach and the graphical visualisation of the Minimal Spanning Tree. For the set of…

The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…

We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large…

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 introduce a technique that is capable to filter out information from complex systems, by mapping them to networks, and extracting a subgraph with the strongest links. This idea is based on the Minimum Spanning Tree, and it can be applied…

The construction of minimum spanning trees (MSTs) from correlation matrices is an often used method to study relationships in the financial markets. However most of the work on this topic tends to use the Pearson correlation coefficient,…

Standard agglomerative clustering suggests establishing a new reliable linkage at every step. However, in order to provide adaptive, density-consistent and flexible solutions, we study extracting all the reliable linkages at each step,…

Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the associated minimal spanning tree (MST). The first four moments of…

Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…

We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on twelve years of data from the 30 Dow Jones Industrial Average…

We study the time dependence of maximal spanning trees and asset graphs based on correlation matrices of stock returns. In these networks the nodes represent companies and links are related to the correlation coefficients between them.…

This work employs some techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The…

We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained…

Spanning trees are an important quantity characterizing the reliability of a network, however, explicitly determining the number of spanning trees in networks is a theoretical challenge. In this paper, we study the number of spanning trees…

The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…

We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest…

Although the threshold network is one of the most used tools to characterize the underlying structure of a stock market, the identification of the optimal threshold to construct a reliable stock network remains challenging. In this paper,…

This paper makes two main contributions: The first is the construction of a near-minimum spanning tree with constant average distortion. The second is a general equivalence theorem relating two refined notions of distortion: scaling…