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cond-mat.stat-mech2003
Clustering and information in correlation based financial networks
J. -P. Onnela, K. Kaski, J. Kertesz
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order…
cond-mat.stat-mech2003
Asset trees and asset graphs in financial markets
J. -P. Onnela, A. Chakraborti, K. Kaski +2
This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both ar…