Hierarchically nested factor model from multivariate data

DOI10.1209/0295-5075/78/30006MaRDI QIDQ2903645zbMATH OpenOpenAlexFDO

Authors Michele Tumminello, Fabrizio Lillo, Rosario Nunzio Mantegna

Publication date 11 August 2012

Published in Europhysics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0511726

zbMATH Keywords

nested factor model

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Factor analysis and principal components; correspondence analysis (62H25) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Abstract: We show how to achieve a statistical description of the hierarchical structure of a multivariate data set. Specifically we show that the similarity matrix resulting from a hierarchical clustering procedure is the correlation matrix of a factor model, the hierarchically nested factor model. In this model, factors are mutually independent and hierarchically organized. Finally, we use a bootstrap based procedure to reduce the number of factors in the model with the aim of retaining only those factors significantly robust with respect to the statistical uncertainty due to the finite length of data records.

Recommendations

• Spectral properties of correlation matrices for some hierarchically nested factor models
• The ultrametric correlation matrix for modelling hierarchical latent concepts
• scientific article; zbMATH DE number 5864694
• Hierarchical multilinear models for multiway data
• Hierarchical classes: model and data analysis

Cited in

(18)

• The ultrametric correlation matrix for modelling hierarchical latent concepts
• Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
• The joint distribution of stock returns is not elliptical
• Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
• Global multivariate model learning from hierarchically correlated data
• SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
• Spectral properties of correlation matrices for some hierarchically nested factor models
• Hierarchical multilinear models for multiway data
• Estimating a covariance matrix for market risk management and the case of credit default swaps
• Agglomerative likelihood clustering
• A review of two decades of correlations, hierarchies, networks and clustering in financial markets
• Power mapping with dynamical adjustment for improved portfolio optimization
• A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
• Filtering time-dependent covariance matrices using time-independent eigenvalues
• Dynamical study of metallic clusters using the statistical method of time series clustering
• Cluster analysis for portfolio optimization
• Editorial: ecological complex systems
• Generation of hierarchically correlated multivariate symbolic sequences

This page was built for publication: Hierarchically nested factor model from multivariate data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2903645)