Dynamics of cluster structure in financial correlation matrix

DOI10.1016/j.chaos.2017.05.039zbMath1380.91142OpenAlexW2621294541MaRDI QIDQ1694154

Chun-Xiao Nie

Publication date: 1 February 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.05.039

zbMATH Keywords

cluster algorithmcorrelation dimensionfinancial crisisfinancial networkcorrelation coefficient matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (5)

Fractal structure in the S\&P500: a correlation-based threshold network approach ⋮ Cluster structure in the correlation coefficient matrix can be characterized by abnormal eigenvalues ⋮ Generalized correlation dimension and heterogeneity of network spaces ⋮ Disturbances and complexity in volatility time series ⋮ Applying correlation dimension to the analysis of the evolution of network structure

Uses Software

• Dowd

Cites Work

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• Statistical analysis of financial networks
• Time series clustering via community detection in networks
• Complex dynamical behaviors of daily data series in stock exchange
• Mining market data: a network approach
• Clustering of time series data -- a survey
• A methodology for index tracking based on time-series clustering
• Asset Trees and Asset Graphs in Financial Markets
• Measuring the Complexity of Currency Markets by Fractal Dimension Analysis

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