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A review of two decades of correlations, hierarchies, networks and clustering in financial markets

Gautier Marti, Frank Nielsen, Miko{\l}aj Bi\'nkowski and Philippe Donnat

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Abstract: This document is an ongoing review on the state of the art of clustering financial time series and the study of correlation and other interaction networks. This preliminary document is intended for researchers in this field so that they can feedback to allow amendments, corrections and addition of new material unknown to the authors of this review. The aim of the document is to gather in one place the relevant material that can help the researcher in the field to have a bigger picture, the quantitative researcher to play with this alternative modeling of the financial time series, and the decision maker to leverage the insights obtained from these methods. We hope that this document will form a basis for implementation of an open toolbox of standard tools to study correlations, hierarchies, networks and clustering in financial markets.

Date: 2017-03, Revised 2019-02
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