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An investigation into the effects and effectiveness of correlation network filtration methods with financial returns
When studying financial markets, we often look at estimating a correlation matrix from asset returns. These tend to be noisy, with many more dimensions than samples, so often the resulting correlation matrix is filtered. Popular methods to do this include the minimum spanning tree, planar maximally...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9451073/ https://www.ncbi.nlm.nih.gov/pubmed/36070303 http://dx.doi.org/10.1371/journal.pone.0273830 |