Dynamics of market correlations: Taxonomy and portfolio analysis

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 68, Issue 5 2, 2003, Pages 561101-5611012

  Onnela, J P ^a   Chakraborti, A ^a   Kaski, K ^a   Kertesz J ^a,b   Kanto, A ^c  

^a AALTO UNIVERSITY   (Finland)

^b BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS   (Hungary)

^c HELSINKI SCHOOL OF ECONOMICS   (Finland)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION METHODS; HIERARCHICAL SYSTEMS; MATHEMATICAL MODELS; MATRIX ALGEBRA; OPTIMIZATION; TOPOLOGY; TREES (MATHEMATICS);

DYNAMIC ASSET TREES; MINIMUM SPANNING TREES;

FINANCE;

EID: 0942278439     PISSN: 1063651X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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27. Several software packages based on standard procedures are available. We used MATLAB with Financial Toolbox.