Understanding changes in the topology and geometry of financial market correlations during a market crash

• Main Authors: Yen, Peter Tsung-Wen, Xia, Kelin, Cheong, Siew Ann
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Physics; Science::Mathematics; Econophysics; Financial Markets
• Online Access: https://hdl.handle.net/10356/153765
• Institution: Nanyang Technological University

In econophysics, the achievements of information filtering methods over the past 20 years, such as the minimal spanning tree (MST) by Mantegna and the planar maximally filtered graph (PMFG) by Tumminello et al., should be celebrated. Here, we show how one can systematically improve upon this paradig...