6533b853fe1ef96bd12ac1bc

RESEARCH PRODUCT

Spanning Trees and bootstrap reliability estimation in correlation based networks

Fabrizio LilloFabrizio LilloFabrizio LilloClaudia CoronnelloRosario N. MantegnaRosario N. MantegnaMichele TumminelloSalvatore MiccichèSalvatore Miccichè

subject

Physics - Physics and SocietySpanning treecorrelation analysiApplied MathematicsReliability (computer networking)FOS: Physical sciencesPhysics and Society (physics.soc-ph)Minimum spanning treeTerm (time)CorrelationTree (data structure)complex networkStock exchangeModeling and SimulationPhysics - Data Analysis Statistics and ProbabilityStatisticsAverage Linkage Cluster AnalysisbootstrapEngineering (miscellaneous)Data Analysis Statistics and Probability (physics.data-an)Mathematicscluster analysis

description

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 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 at 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 does. 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.

yearjournalcountryeditionlanguage
2007-07-01
https://dx.doi.org/10.48550/arxiv.physics/0605116