Dynamics of hierarchical clustering in stocks market during financial crises

DOI10.1016/j.physa.2022.128183OpenAlexW4295736980MaRDI QIDQ2096756

Nawee Jaroonchokanan, Teerasit Termsaithong, Sujin Suwanna

Publication date: 11 November 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2022.128183

zbMATH Keywords

Fisher informationhierarchical tree structurevariation of informationfinancial robustness

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Ward's hierarchical agglomerative clustering method: which algorithms implement Ward's criterion?
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Fisher information distance: a geometrical reading
• Race, gender and the econophysics of income distribution in the USA
• An Introduction to Transfer Entropy
• Elements of Information Theory
• Unnamed Item

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