Mining market data: a network approach
From MaRDI portal
Publication:2499151
DOI10.1016/j.cor.2005.01.027zbMath1113.90079OpenAlexW2123963758MaRDI QIDQ2499151
Panos M. Pardalos, Sergiy I. Butenko, Vladimir L. Boginski
Publication date: 14 August 2006
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2005.01.027
clusteringgraph theoryindependent setdata miningcliquedegree distributioncross-correlationpower-law modelmarket graphstock price fluctuations
Related Items (58)
The triangle \(k\)-club problem ⋮ Statistical procedures for the market graph construction ⋮ On some statistical procedures for stock selection problem ⋮ On multivariate network analysis of statistical data sets with different measures of association ⋮ Exact MIP-based approaches for finding maximum quasi-cliques and dense subgraphs ⋮ Optimal decision for the market graph identification problem in a sign similarity network ⋮ Exact algorithms for the minimum cost vertex blocker clique problem ⋮ A review on algorithms for maximum clique problems ⋮ Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights ⋮ Networks of causal relationships in the U.S. stock market ⋮ Network models to improve robot advisory portfolios ⋮ On CLIQUE Problem for Sparse Graphs of Large Dimension ⋮ A Network Structural Approach to the Link Prediction Problem ⋮ Two-phase heuristics for the \(k\)-club problem ⋮ Robust identification in random variable networks ⋮ On minimization of the number of branches in branch-and-bound algorithms for the maximum clique problem ⋮ A variable neighborhood search heuristic for the maximum ratio clique problem ⋮ Reliability of maximum spanning tree identification in correlation-based market networks ⋮ Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems ⋮ Network Structures Uncertainty for Different Markets ⋮ Algorithms for detecting optimal hereditary structures in graphs, with application to clique relaxations ⋮ Integer models and upper bounds for the 3‐club problem ⋮ Data Analytics on Graphs Part III: Machine Learning on Graphs, from Graph Topology to Applications ⋮ Separator-based data reduction for signed graph balancing ⋮ Portfolio optimization through a network approach: network assortative mixing and portfolio diversification ⋮ The Maximum Ratio Clique Problem: A Continuous Optimization Approach and Some New Results ⋮ Dynamics of cluster structure in financial correlation matrix ⋮ Resource pricing games on graphs: existence of Nash equilibria ⋮ On solving simplified diversified top-\(k\,s\)-plex problem ⋮ Community detection for New York stock market by SCORE-CCD ⋮ A graph clustering algorithm based on a clustering coefficient for weighted graphs ⋮ A clustering-based portfolio strategy incorporating momentum effect and market trend prediction ⋮ The \textsc{max quasi-independent set} problem ⋮ Computational study of the US stock market evolution: a rank correlation-based network model ⋮ Simple measure of similarity for the market graph construction ⋮ On inclusionwise maximal and maximum cardinality \(k\)-clubs in graphs ⋮ Asset portfolio optimization using support vector machines and real-coded genetic algorithm ⋮ Detecting large risk-averse 2-clubs in graphs with random edge failures ⋮ Analyzing the stock market based on the structure of \textit{kNN} network ⋮ Clustering and maximum likelihood search for efficient statistical classification with medium-sized databases ⋮ An analytical comparison of the LP relaxations of integer models for the \(k\)-club problem ⋮ Upper bounds and heuristics for the 2-club problem ⋮ Synergies of operations research and data mining ⋮ Potential energy principles in networked systems and their connections to optimization problems on graphs ⋮ Measures of uncertainty in market network analysis ⋮ Detecting a most closeness-central clique in complex networks ⋮ A network-based data mining approach to portfolio selection via weighted clique relaxations ⋮ A branch-and-bound approach for maximum quasi-cliques ⋮ An Ellipsoidal Bounding Scheme for the Quasi-Clique Number of a Graph ⋮ Comparative Analysis of Two Similarity Measures for the Market Graph Construction ⋮ An analysis of parameter adaptation in reactive tabu search ⋮ Isolation concepts for clique enumeration: comparison and computational experiments ⋮ A maximum edge-weight clique extraction algorithm based on branch-and-bound ⋮ Enumerating Isolated Cliques in Synthetic and Financial Networks ⋮ An integer programming approach for finding the most and the least central cliques ⋮ A cutting plane method for solving harvest scheduling models with area restrictions ⋮ The maximum ratio clique problem ⋮ The maximum balanced subgraph of a signed graph: applications and solution approaches
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Statistical analysis of financial networks
- Relaxing the uniformity and independence assumptions using the concept of fractal dimension
- Clique is hard to approximate within \(n^{1-\epsilon}\)
- A Random Graph Model for Power Law Graphs
- Statistical mechanics of complex networks
- Emergence of Scaling in Random Networks
- Mathematical Programming for Data Mining: Formulations and Challenges
- Collective dynamics of ‘small-world’ networks
- Introduction to Econophysics
This page was built for publication: Mining market data: a network approach
