[CvGmt News] avviso seminario di Finanza Quantitativa prof. Christian Brownlees (11.03.2016)

Valeria Giuliani valeria.giuliani at sns.it
Tue Mar 1 11:09:17 CET 2016


Venerdì 11 marzo 2016

ore 10:30

*Scuola Normale Superiore*


Aula Bianchi Scienze

*Christian Brownlees*

*(Universitat Pompeu Fabra, Barcelona, Spain)*

terrà un seminario dal titolo:

*“**Community Detection in Partial Correlation Networks**”*


In this work we propose a community detection algorithm for partial
correlation networks. We assume that the variables in the network are
partitioned into communities. The presence of nonzero partial correlation
between two variables is determined by a Bernoulli trial whose probability
depends on whether the variables belong to the same community or not. The
community partition is assumed to be unobserved and the goal is to recover
it from a sample of observations. To tackle this problem we introduce a
community detection algorithm called Blockbuster. The algorithm detects
communities by applying k-means clustering to the eigenvectors
corresponding to the largest eigenvalues of the sample covariance
matrix. We study the properties of the procedure and show that Blockbuster
consistently detects communities when the network dimension and the sample
size are large. The methodology is used to study real activity clustering
in the United States.

Tutti gli interessati sono invitati a partecipare.

Classe di Scienze Matematiche e Naturali

Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it
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