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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

This document is an ongoing review on the state of the art of clustering financial time series and the study of correlation and other interaction networks. This preliminary document is intended for researchers in this field so that they can feedback to allow amendments, corrections and addition of new material unknown to the authors of this review. The aim of the document is to gather in one place the relevant material that can help the researcher in the field to have a bigger picture, the quantitative researcher to play with this alternative modeling of the financial time series, and the decision maker to leverage the insights obtained from these methods. We hope that this document will form a basis for implementation of an open toolbox of standard tools 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 May 2018.
    • Handle: RePEc:arx:papers:1703.00485
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    1. Longfeng Zhao & Gang-Jin Wang & Mingang Wang & Weiqi Bao & Wei Li & H. Eugene Stanley, 2017. "Stock market as temporal network," Papers 1712.04863, arXiv.org.

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