Fractal structure in the S&P500: A correlation-based threshold network approach
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DOI: 10.1016/j.chaos.2020.109848
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- Cho, Younghwan & Song, Jae Wook, 2023. "Hierarchical risk parity using security selection based on peripheral assets of correlation-based minimum spanning trees," Finance Research Letters, Elsevier, vol. 53(C).
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Keywords
Fractal dimension; Threshold network; Strong effective repulsion; Market prediction;All these keywords.
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