Search results for " data analysis"
showing 10 items of 231 documents
Kullback-Leibler distance as a measure of the information filtered from multivariate data
2007
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrices of multivariate Gaussian variables we analytically determine the expected values of the Kullback-Leibler distance of a sample correlation matrix from a reference model and we show that the expected values are known also when the specific model is unknown. We propose to make use of the Kullback-Leibler distance to estimate the information extracted from a correlation matrix by correlation filtering procedures. We also show how to use this distance to measure the stability of filtering procedures with respect to s…
How does the market react to your order flow?
2012
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous ord…
Spanning Trees and bootstrap reliability estimation in correlation based networks
2007
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 …
Economic Sector Identification in a Set of Stocks Traded at the New York Stock Exchange: A Comparative Analysis
2006
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that th…
Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance
2007
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in recovering the underlying correlation matrix when the variables are described by a multivariate Gaussian distribution. Here we use the Kullback-Leibler distance to investigate the performance of filtering methods based on Random Matrix Theory and on the shrinkage technique. We also present some results on the application of the Kullback-Leibler distance to multivariate data which are non Gaussian distributed.
Correlation based networks of equity returns sampled at different time horizons
2006
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
A method for approximating optimal statistical significances with machine-learned likelihoods
2022
The European physical journal / C 82(11), 993 (2022). doi:10.1140/epjc/s10052-022-10944-3
An iterative method in a probabilistic approach to the spectral inverse problem - Differential emission measure from line spectra and broadband data
2010
Inverse problems are of great importance in astrophysics for deriving information about the physical characteristics of hot optically thin plasma sources from their EUV and X-ray spectra. We describe and test an iterative method developed within the framework of a probabilistic approach to the spectral inverse problem for determining the thermal structures of the emitting plasma. We also demonstrate applications of this method to both high resolution line spectra and broadband imaging data. Our so-called Bayesian iterative method (BIM) is an iterative procedure based on Bayes' theorem and is used to reconstruct differential emission measure (DEM) distributions. To demonstrate the abilities …
On the importance of background subtraction in the analysis of coronal loops observed with TRACE
2010
In the framework of TRACE coronal observations, we compare the analysis and diagnostics of a loop after subtracting the background with two different and independent methods. The dataset includes sequences of images in the 171 A, 195 A filter bands of TRACE. One background subtraction method consists in taking as background values those obtained from interpolation between concentric strips around the analyzed loop. The other method is a pixel-to-pixel subtraction of the final image when the loop had completely faded out, already used by Reale & Ciaravella 2006. We compare the emission distributions along the loop obtained with the two methods and find that they are considerably differen…
A New Look at Spitzer Primary Transit Observations of the Exoplanet HD 189733b
2014
Blind source separation techniques are used to reanalyse two exoplanetary transit lightcurves of the exoplanet HD189733b recorded with the IR camera IRAC on board the Spitzer Space Telescope at 3.6$\mu$m during the "cold" era. These observations, together with observations at other IR wavelengths, are crucial to characterise the atmosphere of the planet HD189733b. Previous analyses of the same datasets reported discrepant results, hence the necessity of the reanalyses. The method we used here is based on the Independent Component Analysis (ICA) statistical technique, which ensures a high degree of objectivity. The use of ICA to detrend single photometric observations in a self-consistent wa…