Dynamic correlation network analysis of financial asset returns with network clustering

Dynamic correlation network analysis of financial asset returns with network clustering

Abstract In this study, we propose a novel approach to analyze a dynamic correlation network of highly volatile financial asset returns by using a network clustering algorithm to deal with high dimensionality issues. We analyze the dynamic correlation network of selected Japanese stock returns as an...

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Bibliographic Details
Main Author: Takashi Isogai
Format: Article
Language:English
Published: SpringerOpen 2017-05-01
Series:Applied Network Science
Subjects:
Financial asset returns
Correlation network
Dynamic correlation
Network clustering
Dimensionality reduction
Online Access:http://link.springer.com/article/10.1007/s41109-017-0031-6

Internet

http://link.springer.com/article/10.1007/s41109-017-0031-6

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