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Please use this identifier to cite or link to this item: http://hdl.handle.net/2067/1521

Title: Dynamical correlations in financial systems
Authors: Pozzi, Francesco
Aste, Tomaso
Rotundo, Giulia
Di Matteo, Tiziana
Keywords: Econophysics; Complex Systems; Networks; Minimum Spanning Tree; Planar Maximally Filtered
Issue Date: 2008
Publisher: Society of Photo-optical Instrumentation Engineers
Citation: F. Pozzi, T. Aste, G. Rotundo, T. Di Matteo, “Dynamical correlations in financial systems”. In: Complex Systems II, Edited by Derek Abbott, Tomaso Aste, Murray Bachelor, Robert Dewar, Tiziana Di Matteo, Tony Guttmann, Proc. SPIE Vol. 6802, 68021E (Jan. 5, 2008).
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
URI: http://hdl.handle.net/2067/1521
Appears in Collections:DEIM - Archivio della produzione scientifica

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