Zobrazeno 1 - 10
of 239
pro vyhledávání: '"Tumminello,M"'
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:
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
Publikováno v:
Europhys. Lett. 78, 30006 (2007)
We show how to achieve a statistical description of the hierarchical structure of a multivariate data set. Specifically we show that the similarity matrix resulting from a hierarchical clustering procedure is the correlation matrix of a factor model,
Externí odkaz:
http://arxiv.org/abs/cond-mat/0511726
Publikováno v:
in {\it Noise and Fluctuations in Econophysics and Finance}, Edited by D. Abbott, J.-P. Bouchaud, X. Gabaix, J. L. McCauley, Proc. of SPIE, Vol. 5848 (SPIE, Bellingham, WA, 2005) 100-109. (Invited Paper)
We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum Spanning Tree but
Externí odkaz:
http://arxiv.org/abs/physics/0508118
Publikováno v:
Acta Phys. Pol. B 36 (2005) 2653-2679
We compare 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 hierarch
Externí odkaz:
http://arxiv.org/abs/cond-mat/0508122
Publikováno v:
European Physical Journal D 36 (2): 235-239 NOV 2005
Using the optical Stern-Gerlach model, we have recently shown that the non-local correlations between the internal variables of two atoms that successively interact with the field of an ideal cavity in proximity of a nodal region are affected by the
Externí odkaz:
http://arxiv.org/abs/quant-ph/0503033