Reliability of maximum spanning tree identification in correlation-based market networks

Author:

Kalyagin V.A.ORCID,Koldanov A.P.ORCID,Koldanov P.A.ORCID

Funder

National Research University Higher School of Economics

Publisher

Elsevier BV

Subject

Statistical and Nonlinear Physics,Statistics and Probability

Reference24 articles.

1. Mining market data: a network approach;Boginski;J. Comput. Oper. Res.,2006

2. Market basket analysis: Complementing association rules with minimum spanning trees;Valle;Expert Syst. Appl.,2018

3. Dynamic spanning trees in stock market networks: the case of AsiaPacific;Sensoya;Phys. A Stat. Mech. Appl.,2014

4. Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: evidence from minimal spanning tree;Wang;Phys. A Stat. Mech. Appl.,2012

5. G. Marti, F. Nielsen, M. Bińkowski, P. Donnat, A review of two decades of correlations, hierarchies, in: Networks and Clustering in Financial Markets, arXiv:1703.00485v4.

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