Dynamics of cluster structure in financial correlation matrix

DOI10.1016/j.chaos.2017.05.039zbMath1380.91142OpenAlexW2621294541MaRDI QIDQ1694154

Chun-Xiao Nie

Publication date: 1 February 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.05.039

zbMATH Keywords

cluster algorithmcorrelation dimensionfinancial crisisfinancial networkcorrelation coefficient matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items

Fractal structure in the S\&P500: a correlation-based threshold network approach, Cluster structure in the correlation coefficient matrix can be characterized by abnormal eigenvalues, Generalized correlation dimension and heterogeneity of network spaces, Disturbances and complexity in volatility time series, Applying correlation dimension to the analysis of the evolution of network structure

Uses Software

• Dowd

Cites Work

• Unnamed Item
• Unnamed Item
• Graph clustering
• Clustering and community detection in directed networks: a survey
• Cleaning large correlation matrices: tools from random matrix theory
• Characteristics of networks in financial markets
• Cluster analysis for portfolio optimization
• Clustering financial time series: an application to mutual funds style analysis
• Statistical analysis of financial networks
• Time series clustering via community detection in networks
• Complex dynamical behaviors of daily data series in stock exchange
• Mining market data: a network approach
• Clustering of time series data -- a survey
• A methodology for index tracking based on time-series clustering
• Asset Trees and Asset Graphs in Financial Markets
• Measuring the Complexity of Currency Markets by Fractal Dimension Analysis