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DY: Fachverband Dynamik und Statistische Physik

DY 1: Tutorial: Statistical Physics Methods for Data Science in Physics (joint SOE/DY/CPP/BP/jDPG) (joint session SOE/TUT/DY)

DY 1.2: Tutorium

Sonntag, 31. März 2019, 16:50–17:40, H3

Network filtering for big data — •Tiziana Di Matteo — Department of Mathematics - King's College London

In this lecture I will present network-theoretic tools to filter information in large-scale datasets and I will show that these are powerful tools to study complex datasets. In particular I will introduce correlation-based information filtering networks and the planar filtered graphs (PMFG) and I will show that applications to financial data-sets can meaningfully identify industrial activities and structural market changes. It has been shown that by making use of the 3-clique structure of the PMFG a clustering can be extracted allowing dimensionality reduction that keeps both local information and global hierarchy in a deterministic manner without the use of any prior information. To advance the PMFG (currently O(N3)), I will introduce a new algorithm, the TMFG (Triangulated Maximally Filtered Graph), that efficiently extracts a planar subgraph which optimizes an objective function. The method is scalable to very large datasets and it can take advantage of parallel and GPUs computing. The method is adaptable allowing online updating and learning with continuous insertion and deletion of new data as well changes in the strength of the similarity measure. Finally I will also show that filtered graphs are valuable tools for risk management and portfolio optimization too and they allow to construct probabilistic sparse modeling for financial systems that can be used for forecasting, stress testing and risk allocation.