dorsal/arxiv
View SchemaSpanning Trees and bootstrap reliability estimation in correlation based networks
| Authors | M. Tumminello, C. Coronnello, F. Lillo, S. Micciche', R. N. Mantegna |
|---|---|
| Categories | |
| ArXiv ID | physics/0605116 |
| URL | https://arxiv.org/abs/physics/0605116 |
| DOI | 10.1142/S0218127407018415 |
| Journal | Int. J. Bifurcation Chaos 17 (7), 2319-2329 (2007) |
Abstract
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 correlation based graphs by using bootstrap replicas of data. Both techniques are applied to the portfolio of the 300 most capitalized stocks traded at New York Stock Exchange during the time period 2001-2003. We show that the Average Linkage Minimum Spanning Tree recognizes economic sectors and sub-sectors as communities in the network slightly better than the Minimum Spanning Tree does. We also show that the average reliability of links in the Minimum Spanning Tree is slightly greater than the average reliability of links in the Average Linkage Minimum Spanning Tree.
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"abstract": "We introduce a new technique to associate a spanning tree to the average\nlinkage cluster analysis. We term this tree as the Average Linkage Minimum\nSpanning Tree. We also introduce a technique to associate a value of\nreliability to links of correlation based graphs by using bootstrap replicas of\ndata. Both techniques are applied to the portfolio of the 300 most capitalized\nstocks traded at New York Stock Exchange during the time period 2001-2003. We\nshow that the Average Linkage Minimum Spanning Tree recognizes economic sectors\nand sub-sectors as communities in the network slightly better than the Minimum\nSpanning Tree does. We also show that the average reliability of links in the\nMinimum Spanning Tree is slightly greater than the average reliability of links\nin the Average Linkage Minimum Spanning Tree.",
"arxiv_id": "physics/0605116",
"authors": [
"M. Tumminello",
"C. Coronnello",
"F. Lillo",
"S. Micciche\u0027",
"R. N. Mantegna"
],
"categories": [
"physics.soc-ph",
"physics.data-an"
],
"doi": "10.1142/S0218127407018415",
"journal_ref": "Int. J. Bifurcation Chaos 17 (7), 2319-2329 (2007)",
"title": "Spanning Trees and bootstrap reliability estimation in correlation based networks",
"url": "https://arxiv.org/abs/physics/0605116"
},
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