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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2022
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| Materias: | |
| 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 |