Dynamical networks from correlations

Physica A: Statistical Mechanics and its Applications

Volumn 370, Issue 1, 2006, Pages 156-161

  Aste, T ^a   Di Matteo, T ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Complex systems; Econophysics; Financial data correlations; Networks; Time series analysis

Indexed keywords

CORRELATION METHODS; DATA PROCESSING; INFORMATION RETRIEVAL; KALMAN FILTERING; LARGE SCALE SYSTEMS; MATRIX ALGEBRA;

ADAPTIVE CORRELATION FILTERING; DYNAMICAL NETWORKS; ECONOPHYSICS; FINANCIAL DATA CORRELATIONS;

COMPUTER NETWORKS;

EID: 33747595432     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.04.019     Document Type: Article

References (12)

1. Sengupta A.M., and Mitra P.P. Distributions of singular values for some random matrices. Phys. Rev. E 60 (1999) 3389-3392
2. Laloux L., Cizeau P., Bouchaud J.-P., and Potters M. Noise dressing of financial correlation matrices. Phys. Rev. Lett. 83 (1999) 1467-1470
3. Plerou V., Gopikrishnan P., Rosenow B., Amaral L.A.N., and Stanley H.E. Universal and nonuniversal properties of cross correlations in financial time series. Phys. Rev. Lett. 83 (1999) 1471-1474
4. Giada L., and Marsili M. Data clustering and noise undressing of correlation matrices. Phys. Rev. E 63 (2001) 061101
5. Mantegna R.N. Hierarchical structure in financial markets. Eur. Phys. J. B 11 (1999) 193-197
6. Matteo T.D., Aste T., and Mantegna R.N. An interest rate cluster analysis. Physica A 330-339 (2004) 181-188
7. Matteo T.D., Aste T., Hyde S.T., and Ramsden S. Interest rates hierarchical structure. Physica A 335 (2005) 21-33
8. Tumminello M., Aste T., Matteo T.D., and Mantegna R.N. A tool for filtering information in complex systems. Proc. Natl. Acad. Sci. 102 (2005) 10421-10426
9. Matteo T.D., and Aste T. How does the eurodollars interest rate behave?. J. Theoret. Appl. Finance 5 (2002) 122-127
10. Aste T., Boosé D., and Rivier N. From one cell to the whole froth: a dynamical map. Phys. Rev. E 53 (1996) 6181-6191
11. T. Aste, The shell map, in: J.F. Sadoc, N. Rivier (Eds.), Foams and Emulsions, 1999, pp. 497-510.
12. Aste T., and Sherrington D. Glass transition in self organizing cellular patterns. J. Phys. A: Math. Gen. 32 (1999) 7049-7056