Zobrazeno 1 - 10
of 104
pro vyhledávání: '"Mantegna, R. N."'
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylize
Externí odkaz:
http://arxiv.org/abs/1802.01113
Akademický článek
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Publikováno v:
JATM, 58, 152-163, (2017)
Understanding the relation between planned and realized flight trajectories and the determinants of flight deviations is of great importance in air traffic management. In this paper we perform an in depth investigation of the statistical properties o
Externí odkaz:
http://arxiv.org/abs/1603.02859
We propose here two new recommendation methods, based on the appropriate normalization of already existing similarity measures, and on the convex combination of the recommendation scores derived from similarity between users and between objects. We v
Externí odkaz:
http://arxiv.org/abs/1412.3697
Publikováno v:
J. Econ. Behav. Organ. 75, pp. 40-58 (2010)
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial ma
Externí odkaz:
http://arxiv.org/abs/0809.4615
Publikováno v:
Eur. Phys. J. B 65 (3): 333-340 (2008)
We introduce an algorithm to generate multivariate series of symbols from a finite alphabet with a given hierarchical structure of similarities. The target hierarchical structure of similarities is arbitrary, for instance the one obtained by some hie
Externí odkaz:
http://arxiv.org/abs/0802.1600
Publikováno v:
Acta Phys. Pol. B 38 (13), 4079-4088 (2007)
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in recovering the
Externí odkaz:
http://arxiv.org/abs/0710.0576
Publikováno v:
Proceedings Volume 6601, Noise and Stochastics in Complex Systems and Finance; 66010T (2007)
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchi
Externí odkaz:
http://arxiv.org/abs/physics/0609036
Publikováno v:
Eur. Phys. J. B 55 (2): 209-217 (2007)
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the b
Externí odkaz:
http://arxiv.org/abs/physics/0605251
Publikováno v:
Int. J. Bifurcation Chaos 17 (7), 2319-2329 (2007)
We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce a technique to associate a value of reliability to links of correlati
Externí odkaz:
http://arxiv.org/abs/physics/0605116