Rosario Nunzio Mantegna: "Correlation and hierarchies in financial markets"

Interdisciplinary lecture series

Rosario Nunzio Mantegna, Professor for Applied Physics, University of Palermo

Hosted by the Department of Physics, Chair Andreas Buchleitner, in cooperation with the FRIAS Interdisciplinary Research Group „Information, Liquidity, and Trust in Incomplete Markets“ (Ernst Eberlein/ Thomas Gehrig).

In this lecture the multivariate nature of price formation mechanism is analyzed by using an empirical approach. Correlations estimators adapted from hierarchical clustering and random matrix theory are presented and their ability in filtering the information present in a correlation matrix will be quantified by using the Kullback-Leibler distance which is a tool of information theory.