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原文連結
論文資訊
- 類型：已發表論文
- 日期：2010
摘要
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Here, we discuss how to define and obtain hierarchical trees, correlation based trees and 網絡s from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect 統計ly reliable aspects of it are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tree obtained from a correlation matrix. The 資訊 retained in filtering procedures and its stability with respect to 統計 fluctuations is quantified b
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