Spanning Trees and bootstrap reliability estimation in correlation based networks

Salvatore Micciche', Rosario Nunzio Mantegna, Fabrizio Lillo, Michele Tumminello, Salvatore Micciche, Fabrizio Lillo, Rosario N. Mantegna, Claudia Coronnello

Risultato della ricerca: Articlepeer review

92 Citazioni (Scopus)

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 the 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 on the 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. 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.
Lingua originaleEnglish
pagine (da-a)2319-2329
Numero di pagine11
RivistaInternational Journal of Bifurcation and Chaos in Applied Sciences and Engineering
Volume17 (7)
Stato di pubblicazionePublished - 2007

All Science Journal Classification (ASJC) codes

  • Modelling and Simulation
  • Engineering (miscellaneous)
  • General
  • Applied Mathematics

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