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Correlation, hierarchies, and networks in financial markets · Study

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ArticleCorrelation, hierarchies, and networks in financial markets

Michele Tumminello2010

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Articlegreen2010

Correlation, hierarchies, and networks in financial markets

Michele Tumminello · Fabrizio Lillo · Rosario N. Mantegna

381 citations·0/0 files stored·Journal of Economic Behavior & Organization

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Complex Systems and Time Series Analysis Complex Network Analysis Techniques Financial Risk and Volatility Modeling

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References

1999Hierarchical structure in financial markets 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 1999Noise Dressing of Financial Correlation Matrices 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series 2005A tool for filtering information in complex systems 2003Theory of Financial Risk and Derivative Pricing 2003Dynamics of market correlations: Taxonomy and portfolio analysis 2003Topology of correlation-based minimal spanning trees in real and model markets

Cited by

2011Correlation of financial markets in times of crisis 2015Network structure of multivariate time series 2011Evolution of worldwide stock markets, correlation structure, and correlation-based graphs 2013Spread of risk across financial markets: better to invest in the peripheries 2015Partial correlation analysis: applications for financial markets 2010

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Year2010

Typearticle

Published2010-01-25

VenueJournal of Economic Behavior & Organization

ISSN-L0167-2681

Languageen

Citations381

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.jebo.2010.01.004

openalex_workW2170100509

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