Network analysis of the credit crisis spread (arxivblog.com)

http://arxiv.org/pdf/0901.1392v1

5 comments

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I 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 17y ago ↗

Perhaps this would help: 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

mattyfo 17y ago ↗

Thanks hotpockets, I guess it's time to study now :)

jfarmer 17y ago ↗

The 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...

"Hierarchical StructureinFinancial Markets" 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 17y ago ↗

Anyone know what kind of math is used for these network analysis? Linear Algebra?