http://http://dspace.unitus.it:80 The DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material. Mon, 20 May 2013 07:15:26 GMT 2013-05-20T07:15:26Z http://hdl.handle.net/2067/1521 Title: Dynamical correlations in financial systems Authors: Pozzi, Francesco; Aste, Tomaso; Rotundo, Giulia; Di Matteo, Tiziana Abstract: One of the main goals in the field of complex systems is the selection and extraction of relevant and meaningful information about the properties of the underlying system from large datasets. In the last years different methods have been proposed for filtering financial data by extracting a structure of interactions from cross-correlation matrices where only few entries are selected by means of criteria borrowed from network theory. We discuss and compare the stability and robustness of two methods: the Minimum Spanning Tree and the Planar Maximally Filtered Graph. We construct such graphs dynamically by considering running windows of the whole dataset. We study their stability and their edges’s persistence and we come to the conclusion that the Planar Maximally Filtered Graph offers a richer and more significant structure with respect to the Minimum Spanning Tree, showing also a stronger stability in the long run. Mon, 31 Dec 2007 23:00:00 GMT http://hdl.handle.net/2067/1521 2007-12-31T23:00:00Z