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A review of two decades of correlations, hierarchies, networks and clustering in financial markets

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  • Gautier Marti
  • Frank Nielsen
  • Miko{l}aj Bi'nkowski
  • Philippe Donnat

Abstract

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g. machine learning, information geometry, econophysics, statistical physics, econometrics, behavioral finance. We hope it will help researchers to use more effectively this alternative modeling of the financial time series. Decision makers and quantitative researchers may also be able to leverage its insights. Finally, we also hope that this review will form the basis of an open toolbox to study correlations, hierarchies, networks and clustering in financial markets.

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  • Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    • Handle: RePEc:arx:papers:1703.00485
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    1. Zhao, Longfeng & Wang, Gang-Jin & Wang, Mingang & Bao, Weiqi & Li, Wei & Stanley, H. Eugene, 2018. "Stock market as temporal network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1104-1112.
    2. Chen, James Ming & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning," Resources Policy, Elsevier, vol. 73(C).

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    13. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
    14. Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Granger causality stock market networks: Temporal proximity and preferential attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 262-276.
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