Use of sparse correlations for assessing financial markets

Xin LI , Guyu HU , Yuhuan ZHOU , Zhisong PAN

Front. Comput. Sci. ›› 2020, Vol. 14 ›› Issue (6) : 146319

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Front. Comput. Sci. ›› 2020, Vol. 14 ›› Issue (6) : 146319 DOI: 10.1007/s11704-019-9060-x
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Use of sparse correlations for assessing financial markets

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Xin LI, Guyu HU, Yuhuan ZHOU, Zhisong PAN. Use of sparse correlations for assessing financial markets. Front. Comput. Sci., 2020, 14(6): 146319 DOI:10.1007/s11704-019-9060-x

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Guo X, Zhang H, Tian T. Development of stock correlation networks using mutual information and financial big data. PloS One, 2018, 13(4): e0195941

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Jung S S, Chang W. Clustering stocks using partial correlation coefficients. Physica A: Statistical Mechanics and its Applications, 2016, 462: 410–420

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Wang G J, Xie C, Stanley H E. Correlation structure and evolution of world stock markets: evidence from Pearson and partial correlationbased networks. Computational Economics, 2018, 51(3): 607–635

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Sai K H S, Pal M, Manimaran P. Multifractal detrended partial crosscorrelation analysis on Asian markets. Physica A: Statistical Mechanics and its Applications, 2019, 121778

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Friedman J, Hastie T, Tibshirani R. Sparse inverse covariance estimation with the graphical lasso. Biostatistics, 2008, 9(3): 432–441

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