Construction of minimum spanning trees from financial returns using rank correlation

نویسندگان

چکیده

The construction of minimum spanning trees (MSTs) from correlation matrices is an often used method to study relationships in the financial markets. However most work on this topic tends use Pearson coefficient, which relies assumption normality and can be brittle presence outliers, neither ideal for returns. In paper we inference MSTs daily US, UK German returns using two rank methods, Spearman Kendall's $\tau$. constructed these methods tend more stable maintain edges over dataset than those correlation. edge agreement between varies significantly depending state markets, but generally show strong at all times. Deviation univariate related changes difficult connect MSTs. Irrelevant have similar topologies. Portfolios MST a smaller turnover full covariance matrix larger not market. Using bootstrap find that correlations are robust, there little difference robustness

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Information Theoretic Clustering Using Minimum Spanning Trees

In this work we propose a new information-theoretic clustering algorithm that infers cluster memberships by direct optimization of a non-parametric mutual information estimate between data distribution and cluster assignment. Although the optimization objective has a solid theoretical foundation it is hard to optimize. We propose an approximate optimization formulation that leads to an efficien...

متن کامل

Geometric Minimum Spanning Trees

Let S be a set of n points in < d. We present an algorithm that uses the well-separated pair decomposition and computes the minimum spanning tree of S under any Lp or polyhedral metric. It has an expected running time of O(n logn) for uniform distributions. Experimentalresults show that this approachis practical. Under a variety of input distributions, the resultingimplementation is robust and ...

متن کامل

Minimum Spanning Trees∗

1 Background Members of some secret party want to shutdown some high risk communication channals, while preserving low risk channals to ensure that members are still connected in the secret network.

متن کامل

Homogeneity Analysis Using Euclidean Minimum Spanning Trees

In the usual forms of homogeneity analysis (which are also known as multiple correspondence analysis or MCA) the size of a point set is defined as the size of the star plot of the set. The star plot is the graph defined by connecting all points in the set with their centroid, and the size is the total squared length of the edges. In order to prevent trivial solutions the configuration X is usua...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Physica D: Nonlinear Phenomena

سال: 2021

ISSN: ['1872-8022', '0167-2789']

DOI: https://doi.org/10.1016/j.physa.2020.125605