Browsing Faculty Publications (Bibliographic) by Author "Chakrabarti, Arnab"
Now showing items 1-2 of 2
-
The origin of return correlation networks
Banerjee, Anirban; Chakrabarti, Arnab; Chakrabarti, Anindya S (Oxford University Press, 2024-04-05)Financial networks are constructed from asset price comovements. There is a large literature that takes these networks as given, for example, for portfolio optimization. But what exactly is the origin of these networks? ... -
Sparsistent filtering of comovement networks from high-dimensional data
Chakrabarti, Arnab; Chakrabarti, Anindya S. (Elsevier, 2022-11-09)Network filtering is a technique to isolate core subnetworks of large and complex interconnected systems, which has recently found many applications in financial, biological, physical and technological networks among others. ...