Heimo, Tapio; Saramäki, Jari; Onnela, Jukka-Pekka; … - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 147-151
Correlation matrices inferred from stock return time series contain information on the behaviour of the market, especially on clusters of highly correlating stocks. Here we study a subset of New York Stock Exchange (NYSE) traded stocks and compare three different methods of analysis: (i)...