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102. Musmeci, N., Aste, T., Di Matteo, T.: Risk diversification: a study of persistence with a filtered
correlation-network approach. Netw. Theory Finance 1(1), 77–98 (2015)
103. Musmeci, N., Aste, T., Di Matteo, T.: Interplay between past market correlation structure
changes and future volatility outbursts. Sci. Rep. 6, (2016)
104. Nguyen, H.T., Tran, P.N., Nguyen, Q.: An analysis of eigenvectors of a stock market crosscorrelation matrix. In: International Econometric Conference of Vietnam, pp. 504–513.
Springer, Berlin (2018)
105. Nguyen, Q.: One-factor model for the cross-correlation matrix in the vietnamese stock market.
Phys. A: Stat. Mech. Appl. 392(13), 2915–2923 (2013)
106. Onnela, J.-P., Chakraborti, A., Kaski, K., Kertiész, J.: Dynamic asset trees and portfolio
analysis. Eur. Phys. J. B-Condensed Matter Complex Syst. 30(3), 285–288 (2002)
107. Onnela, J.-P., Chakraborti, A., Kaski, K., Kertesz, J.: Dynamic asset trees and black monday.
Phys. A: Stat. Mech. Appl. 324(1), 247–252 (2003)
108. Onnela, J.-P., Chakraborti, A., Kaski, K., Kertesz, J., Kanto, A.: Dynamics of market correlations: Taxonomy and portfolio analysis. Phys. Rev. E 68(5), 056110 (2003)
109. Onnela, J.-P., Kaski, K., Kertész, J.: Clustering and information in correlation based financial
networks. Eur. Phys. J. B-Condensed Matter Complex Syst. 38(2), 353–362 (2004)
110. Otranto, E.: Clustering heteroskedastic time series by model-based procedures. Comput. Stat.
Data Anal. 52(10), 4685–4698 (2008)
111. Özgür, A., Cetin, B., Bingol, H.: Co-occurrence network of reuters news. Int. J. Modern Phys.
C 19(05), 689–702 (2008)
112. Ozsoylev, H.N., Walden, J., Yavuz, M.D., Bildik, R.: Investor networks in the stock market.
Rev. Financial Stud. 27(5), 1323–1366 (2013)
113. Pan, R.K., Sinha, S.: Collective behavior of stock price movements in an emerging market.
Phys. Rev. E 76(4), 046116 (2007)
114. Panton, D.B., Lessig, V.P., Joy, O.M.: Comovement of international equity markets: a taxonomic approach. J. Financial Quantitative Anal. 11(03), 415–432 (1976)
115. Papenbrock, J., Schwendner, P.: Handling risk-on/risk-off dynamics with correlation regimes
and correlation networks. Financial Markets Portfolio Manag. 29(2), 125–147 (2015)
116. Peralta, G., Zareei, A.: A network approach to portfolio selection. J. Emp. Finance (2016)
117. Pfitzinger, J., Katzke, N., et al.: A constrained hierarchical risk parity algorithm with clusterbased capital allocation. Techn, Rep (2019)
118. Plerou, V., Gopikrishnan, P., Rosenow, B., Amaral, L.N., Stanley, H.E.: A random matrix
theory approach to financial cross-correlations. Phys. A: Stat. Mech. Appl. 287(3), 374–382
(2000)
119. Pozzi, F., Di Matteo, T., Aste, T.: Spread of risk across financial markets: better to invest in
the peripheries. Sci. Rep. 3, (2013)
120. Raffinot, T.: Hierarchical clustering based asset allocation. Available at SSRN 2840729,
(2016)
121. Raffinot, T.: The hierarchical equal risk contribution portfolio. Available at SSRN 3237540,
(2018)
122. Ren, F., Lu, Y.-N., Li, S.-P. Jiang, X.-F. Zhong, L.-X., Qiu, T.: Dynamic portfolio strategy
using clustering approach (2016). arXiv:1608.03058
123. Rinn, P., Stepanov, Y., Peinke, J., Guhr, T., Schäfer, R.: Dynamics of quasi-stationary systems:
Finance as an example. EPL (Europhysics Letters) 110(6), 68003 (2015)
124. Rocchi, J., Tsui, E.Y.L., Saad, D.: Emerging interdependence between stock values during
financial crashes (2016). arXiv:1611.02549
125. Rönnqvist, S., Sarlin, P.: From text to bank interrelation maps. In: 2104 IEEE Conference
onComputational Intelligence for Financial Engineering and Economics (CIFEr), pp. 48–54.
IEEE (2014)
126. Rönnqvist, S., Sarlin, P.: Bank networks from text: interrelations, centrality and determinants.
Quantitative Finance 15(10), 1619–1635 (2015)
127. Sandhu, R., Georgiou, T., Tannenbaum, A.: Market fragility, systemic risk, and Ricci curvature
(2015). arXiv:1505.05182