Correlation filtering in financial time series

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dc.creatorAste, T.
dc.creatorDi Matteo, T.
dc.creatorTumminello, M.
dc.creatorMantegna, R. N.
dc.date2005-08-17
dc.date.accessioned2026-07-07T05:55:42Z
dc.date.available2026-07-07T05:55:42Z
dc.descriptionWe apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum Spanning Tree but containing a larger amount of links resulting in a richer network topology allowing loops and cliques. In Tumminello et al. \cite{TumminielloPNAS05}, 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 clustering of the system and its hierarchical structure both on the whole system and within each cluster. In particular, we have found that triangular loops and 4 element cliques have important and significant relations with the market structure and properties. Here we apply this filtering procedure to the analysis of correlation in two different kind of interest rate time series (16 Eurodollars and 34 US interest rates).
dc.description10 pages 7 figures
dc.identifierhttps://arxiv.org/abs/physics/0508118
dc.identifierhttp://arxiv.org/abs/physics/0508118
dc.identifierin {\it Noise and Fluctuations in Econophysics and Finance}, Edited by D. Abbott, J.-P. Bouchaud, X. Gabaix, J. L. McCauley, Proc. of SPIE, Vol. 5848 (SPIE, Bellingham, WA, 2005) 100-109. (Invited Paper)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/87332
dc.subjectPhysics and Society
dc.titleCorrelation filtering in financial time series
dc.typetext

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