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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.46: Poster

Mittwoch, 29. März 2006, 16:00–18:00, P2

Filtering tools for correlation networks — •Jan Nagler^1,2, Philipp Weber², Shlomo Havlin^2,3, and H. Eugene Stanley² — ¹Institute for Theoretical Physics, Bremen University, Bremen, Germany — ²Center for Polymer Studies, Boston University, Boston, USA — ³Minerva Center and Dept of Physics, Bar-Ilan University, Ramat-Gan, Israel

We present a novel method for filtering information from cross-correlation data. The key point of our method is a reconstruction process of the original cross-correlation matrix from a filtered correlation network. In order to recover the original correlation matrix we theoretically derive a procedure capable to estimate unknown correlation coefficients from known ones. We apply the method to correlation networks of stock market returns. First, we compare clustering with standard stock sector classification schemes. Second, we check whether our proposed procedure is taylored to evaluate other filtering methods (e.g. Minimal Spanning Tree based methods or approaches applying percolation schemes).