Network structure of cross-correlations among the world market indices

Shortest Connection Networks And Some Generalizations

R. C. Prim · Bell System Technical Journal · 1957 · 4.5K citations

Mathematical Programming, Directed Graph, Engineering +20

Hierarchical structure in financial markets

Rosario N. Mantegna · The European Physical Journal B · 1999 · 2K citations · Full text

Market Microstructure, Hierarchical Structure, Financial Economics +4

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit, Michael Wolf · Journal of Empirical Finance · 2003 · 1.7K citations

Portfolio Optimization, Covariance Matrix, Asset Pricing +10

Noise Dressing of Financial Correlation Matrices

Laurent Laloux, Pierre Cizeau, Jean‐Philippe Bouchaud et al. · Physical Review Letters · 1999 · 1.2K citations · Full text

Empirical Finance, Empirical Correlation Matrices, Asset Pricing +12

Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series

Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow et al. · Physical Review Letters · 1999 · 1K citations · Full text

Empirical Finance, Spectral Theory, Volatility Modeling +18