英文标题：
《A Weight-based Information Filtration Algorithm for Stock-Correlation
  Networks》
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作者：
Seyed Soheil Hosseini, Nick Wormald, and Tianhai Tian
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最新提交年份：
2019
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英文摘要：
  Several algorithms have been proposed to filter information on a complete graph of correlations across stocks to build a stock-correlation network. Among them the planar maximally filtered graph (PMFG) algorithm uses $3n-6$ edges to build a graph whose features include a high frequency of small cliques and a good clustering of stocks. We propose a new algorithm which we call proportional degree (PD) to filter information on the complete graph of normalised mutual information (NMI) across stocks. Our results show that the PD algorithm produces a network showing better homogeneity with respect to cliques, as compared to economic sectoral classification than its PMFG counterpart. We also show that the partition of the PD network obtained through normalised spectral clustering (NSC) agrees better with the NSC of the complete graph than the corresponding one obtained from PMFG. Finally, we show that the clusters in the PD network are more robust with respect to the removal of random sets of edges than those in the PMFG network.
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中文摘要：
已经提出了几种算法来过滤股票间完整相关性图上的信息，以构建股票相关性网络。其中，平面最大过滤图（PMFG）算法使用3-6美元的边构建一个图，其特征包括小集团的高频率和股票的良好聚类。我们提出了一种称为比例度（PD）的新算法来过滤股票归一化互信息（NMI）完整图上的信息。我们的结果表明，与经济部门分类相比，PD算法生成的网络在派系方面表现出更好的同质性，而非PMFG算法。我们还表明，通过归一化谱聚类（NSC）得到的PD网络的划分与完整图的NSC相比，更符合PMFG得到的相应划分。最后，我们证明了PD网络中的簇比PMFG网络中的簇在去除随机边集方面更具鲁棒性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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