Extracting the correlation structure by means of planar embedding

T. Di Matteo; T. Aste

doi:10.1117/12.637543

Extracting the correlation structure by means of planar embedding

T. Di Matteo^*, T. Aste

^*Corresponding author for this work

Research output: Contribution to journal › Conference article › peer-review

6 Citations (Scopus)

Abstract

The hierarchical structure of correlation matrices in complex systems is studied by extracting a significant sub-set of correlations resulting in a planar graph. Such a graph has been generated by a method introduced in Aste et al.¹ and it has the same hierarchical structure of the Minimum Spanning Tree but it contains a larger amount of links, loops and cliques. In Tumminello et al.,² we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty efficient in filtering relevant information about the system clustering revaling the hierarchical organization in the whole system and within each cluster. Here we discuss this filtering correlation procedure and its application to different financial data sets.

Original language	English
Article number	60390P
Journal	Proceedings of SPIE - The International Society for Optical Engineering
Volume	6039
DOIs	https://doi.org/10.1117/12.637543
Publication status	Published - 2006
Event	Complex Systems - Brisbane, Australia Duration: 12 Dec 2005 → 14 Dec 2005

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abstract = "The hierarchical structure of correlation matrices in complex systems is studied by extracting a significant sub-set of correlations resulting in a planar graph. Such a graph has been generated by a method introduced in Aste et al.1 and it has the same hierarchical structure of the Minimum Spanning Tree but it contains a larger amount of links, loops and cliques. In Tumminello et al.,2 we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty efficient in filtering relevant information about the system clustering revaling the hierarchical organization in the whole system and within each cluster. Here we discuss this filtering correlation procedure and its application to different financial data sets.",

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AB - The hierarchical structure of correlation matrices in complex systems is studied by extracting a significant sub-set of correlations resulting in a planar graph. Such a graph has been generated by a method introduced in Aste et al.1 and it has the same hierarchical structure of the Minimum Spanning Tree but it contains a larger amount of links, loops and cliques. In Tumminello et al.,2 we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty efficient in filtering relevant information about the system clustering revaling the hierarchical organization in the whole system and within each cluster. Here we discuss this filtering correlation procedure and its application to different financial data sets.

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KW - Econophysics

KW - Networks

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JF - Proceedings of SPIE - The International Society for Optical Engineering

M1 - 60390P

T2 - Complex Systems

Y2 - 12 December 2005 through 14 December 2005

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Extracting the correlation structure by means of planar embedding

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