EconPapers    
Economics at your fingertips  
 

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

Papers from arXiv.org

Abstract: We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g. machine learning, information geometry, econophysics, statistical physics, econometrics, behavioral finance. We hope it will help researchers to use more effectively this alternative modeling of the financial time series. Decision makers and quantitative researchers may also be able to leverage its insights. Finally, we also hope that this review will form the basis of an open toolbox to study correlations, hierarchies, networks and clustering in financial markets.

Date: 2017-03, Revised 2020-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1703.00485 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1703.00485

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2020-10-20
Handle: RePEc:arx:papers:1703.00485