Partial correlation analysis: applications for financial markets

Dror Y. Kenett; Xuqing Huang; Irena Vodenska; Shlomo Havlin; H. Eugene Stanley

doi:10.1080/14697688.2014.946660

Partial correlation analysis: applications for financial markets

Dror Y. Kenett, Xuqing Huang, Irena Vodenska, Shlomo Havlin, H. Eugene Stanley

Department of Physics

Boston University

Research output: Contribution to journal › Article › peer-review

129 Scopus citations

Original language	English
Pages (from-to)	569-578
Number of pages	10
Journal	Quantitative Finance
Volume	15
Issue number	4
DOIs	https://doi.org/10.1080/14697688.2014.946660
State	Published - 3 Apr 2015

Bibliographical note

Funding Information:
We wish to thank ONR (Grant N00014-09-1-0380, Grant N00014-12-1-0548), DTRA (Grant HDTRA-1-10-1-0014, Grant HDTRA-1-09-1-0035), NSF (Grant CMMI 1125290), the European MULTIPLEX (EU-FET project 317532), CONGAS (Grant FP7-ICT-2011-8-317672), FET Open Project FOC 255987 and FOC-INCO 297149, and LINC (no. 289447 funded by the ECs Marie-Curie ITN program) projects, DFG, the Next Generation Infrastructure (Bsik), Bi-national US-Israel Science Foundation (BSF) and the Israel Science Foundation for financial support.

Funding

We wish to thank ONR (Grant N00014-09-1-0380, Grant N00014-12-1-0548), DTRA (Grant HDTRA-1-10-1-0014, Grant HDTRA-1-09-1-0035), NSF (Grant CMMI 1125290), the European MULTIPLEX (EU-FET project 317532), CONGAS (Grant FP7-ICT-2011-8-317672), FET Open Project FOC 255987 and FOC-INCO 297149, and LINC (no. 289447 funded by the ECs Marie-Curie ITN program) projects, DFG, the Next Generation Infrastructure (Bsik), Bi-national US-Israel Science Foundation (BSF) and the Israel Science Foundation for financial support.

Funders	Funder number
CONGAS	FOC 255987, 289447, FP7-ICT-2011-8-317672, FOC-INCO 297149
ECs Marie-Curie
European MULTIPLEX	317532
National Science Foundation	CMMI 1125290
Office of Naval Research	HDTRA-1-09-1-0035, N00014-09-1-0380, N00014-12-1-0548, HDTRA-1-10-1-0014
Bonfils-Stanton Foundation
Deutsche Forschungsgemeinschaft
Israel Science Foundation

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title = "Partial correlation analysis: applications for financial markets",

author = "Kenett, {Dror Y.} and Xuqing Huang and Irena Vodenska and Shlomo Havlin and Stanley, {H. Eugene}",

note = "Funding Information: We wish to thank ONR (Grant N00014-09-1-0380, Grant N00014-12-1-0548), DTRA (Grant HDTRA-1-10-1-0014, Grant HDTRA-1-09-1-0035), NSF (Grant CMMI 1125290), the European MULTIPLEX (EU-FET project 317532), CONGAS (Grant FP7-ICT-2011-8-317672), FET Open Project FOC 255987 and FOC-INCO 297149, and LINC (no. 289447 funded by the ECs Marie-Curie ITN program) projects, DFG, the Next Generation Infrastructure (Bsik), Bi-national US-Israel Science Foundation (BSF) and the Israel Science Foundation for financial support.",

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AU - Havlin, Shlomo

AU - Stanley, H. Eugene

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Partial correlation analysis: applications for financial markets

Bibliographical note

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