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Clustering and information in correlation based financial networks

Abstract:

Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no edges where the vertices correspond to stocks. Then, one by one, we insert edges between the vertices according to the rank of their correlation strength, resulting in a network called asset graph. We study its properties, such as topologically different g...

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Publication date:
2004-01-01
UUID:
uuid:38b51f1e-d3cc-4371-b9da-b0e15c711ff1
Local pid:
oai:eureka.sbs.ox.ac.uk:980
Deposit date:
2011-10-27

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