74 citations · 271 across the 32 of their papers we have counts for
3 papers · 1 filter
From sectorial coarse graining to extreme coarse graining of S&P 500 correlation matrices
Manan Vyas, M. Mijaíl Martínez-Ramos, Parisa Majari +1
Starting from the Pearson Correlation Matrix of stock returns and from the desire to obtain a reduced number of parameters relevant for the dynamics of a financial market, we propo…
Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm
M. Mijaíl Martínez-Ramos, Parisa Majari, Andres R. Cruz-Hernández +2
We analyze correlation structures in financial markets by coarse graining the Pearson correlation matrices according to market sectors to obtain Guhr matrices using Guhr's correlat…
Non-linear correlation analysis in financial markets using hierarchical clustering
J. E. Salgado-Hernández, Manan Vyas
Distance correlation coefficient (DCC) can be used to identify new associations and correlations between multiple variables. The distance correlation coefficient applies to variabl…