8 citations · 16 across the 6 of their papers we have counts for
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q-fin.ST2020★ 2 cited
Simplicial persistence of financial markets: filtering, generative processes and portfolio risk
Jeremy D. Turiel, Paolo Barucca, Tomaso Aste
We introduce simplicial persistence, a measure of time evolution of network motifs in subsequent temporal layers. We observe long memory in the evolution of structures from correla…
q-fin.ST2019
Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics
Jeremy Turiel, Tomaso Aste
We study soft persistence (existence in subsequent temporal layers of motifs from the initial layer) of motif structures in Triangulated Maximally Filtered Graphs (TMFG) generated…