An investigation into the effects and effectiveness of correlation network filtration methods with financial returns
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DOI: 10.1371/journal.pone.0273830
Abstract: When studying financial markets, we often look at estimating a correlation matrix from asset returns. These tend to be noisy, with many more dimensions than samples, so often the resulting correlation matrix is filtered. Popular… read more here.
Keywords: filtered networks; investigation effects; graph; correlation network ... See more keywords