Chapter 23: Knowledge Graphs

Statistical Financial Networks and Filtered Correlation Graphs advanced

How a dense correlation matrix becomes a sparse market map, what the minimum spanning tree keeps, and why the PMFG is

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References

Building Diversified Portfolios that Outperform Out-of-Sample

Marcos Lopez de Prado (2016)

Financial Networks and Portfolio Management

Gueorgui S. Konstantinov, Irene Aldridge, Hossein B. Kazemi (2023) — The Journal of Portfolio Management

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