Simplicial Persistence of Financial Markets: Filtering, Generative Processes and Structural Risk

We introduce simplicial persistence, a measure of time evolution of motifs in networks obtained from correlation filtering. We observe long memory in the evolution of structures, with a two power law decay regimes in the number of persistent simplicial complexes. Null models of the underlying time s...

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Detalles Bibliográficos
Autores principales: Turiel, Jeremy, Barucca, Paolo, Aste, Tomaso
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9602102/
https://www.ncbi.nlm.nih.gov/pubmed/37420502
http://dx.doi.org/10.3390/e24101482

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9602102/
https://www.ncbi.nlm.nih.gov/pubmed/37420502
http://dx.doi.org/10.3390/e24101482

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