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Network analysis of the credit crisis spread
http://arxiv.org/pdf/0901.1392v1
- mattyfo 18y agoI love this paper, only thing that blows my mind is the two formula's he came up with to calculate correlation matrix and adjacency matrix...anyone know where I can begin to learn such things?
- hotpockets 18y agoPerhaps this would help: http://en.wikipedia.org/wiki/Correlation http://en.wikipedia.org/wiki/Correlation I have only just skimmed the paper so far and can't really comment more on it right now. In case anyone else is interested, this is the link to the paper: http://arxiv.org/pdf/0901.1392v1 http://arxiv.org/pdf/0901.1392v1
- mattyfo 18y agoThanks hotpockets, I guess it's time to study now :)
- jfarmer 18y agoThe paper is very short. He basically applies principles outlined in the first two papers cited to the market over the last year. "Some distance properties of latent root and vector methods used in multivariate analysis" http://biomet.oxfordjournals.org/cgi/content/abstract/53/3-4/325 http://biomet.oxfordjournals.org/cgi/content/abstract/53/3-4... "Hierarchical StructureinFinancial Markets" http://arxiv.org/pdf/cond-mat/9802256 http://arxiv.org/pdf/cond-mat/9802256 The first is behind a journal wall, but if you're at a university you should probably have access. The second is free for everyone! Yay.
- iamwil 18y agoAnyone know what kind of math is used for these network analysis? Linear Algebra?