SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS

DOI10.1142/S0218127407018415MaRDI QIDQ3511041zbMATH OpenOpenAlexFDO

Authors Michele Tumminello, Claudia Coronello, Fabrizio Lillo, Rosatio N. Mantegna, S. Miccichè

Publication date 4 July 2008

Published in International Journal of Bifurcation and Chaos in Applied Sciences and Engineering (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/physics/0605116

zbMATH Keywords

bootstrapcluster analysiscomplex networkscorrelation analysisaverage linkage minimum spanning tree

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Trees (05C05) Reliability, availability, maintenance, inspection in operations research (90B25)

Abstract: We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce a technique to associate a value of reliability to links of correlation based graphs by using bootstrap replicas of data. Both techniques are applied to the portfolio of the 300 most capitalized stocks traded at New York Stock Exchange during the time period 2001-2003. We show that the Average Linkage Minimum Spanning Tree recognizes economic sectors and sub-sectors as communities in the network slightly better than the Minimum Spanning Tree does. We also show that the average reliability of links in the Minimum Spanning Tree is slightly greater than the average reliability of links in the Average Linkage Minimum Spanning Tree.

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Cited in

(20)

• Dynamic asset trees and Black Monday
• CENTRALITY AND PERIPHERALITY IN FILTERED GRAPHS FROM DYNAMICAL FINANCIAL CORRELATIONS
• A review of two decades of correlations, hierarchies, networks and clustering in financial markets
• The relationship between carbon dioxide emission and economic growth: hierarchical structure methods
• Optimal decision for the market graph identification problem in a sign similarity network
• Modeling the topology of a dynamical network via Wiener filtering approach
• STOCK MARKET DIFFERENCES IN CORRELATION-BASED WEIGHTED NETWORK
• Emergence of statistically validated financial intraday lead-lag relationships
• Cliometrics of world stock markets evolving networks
• Reliability of maximum spanning tree identification in correlation-based market networks
• Hierarchies in communities of Borsa Istanbul Stock Exchange
• Macroeconomic and financial networks: review of some recent developments in parametric and non-parametric approaches
• Coupled network approach to predictability of financial market returns and news sentiments
• Asset allocation: new evidence through network approaches
• Asset Trees and Asset Graphs in Financial Markets
• Network topology of economic sectors
• Emerging markets in the global economic network: real(ly) decoupling?
• Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree
• Non-random topology of stock markets
• Degree stability of a minimum spanning tree of price return and volatility

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