3 papers
q-fin.ST2008
Coherence-based multivariate analysis of high frequency stock market values
Donatello Materassi, Giacomo Innocenti
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already pr…
nlin.CD2008
Topological identification in networks of dynamical systems
Donatello W. Materassi, Giacomo W. Innocenti
The paper deals with the problem of reconstructing the topological structure of a network of dynamical systems. A distance function is defined in order to evaluate the "closeness"…
q-fin.ST2008
Econometrics as Sorcery
G. Innocenti, D. Materassi
The paper deals with the problem of identifying the internal dependencies and similarities among a large number of random processes. Linear models are considered to describe the re…