Reconstructing a complex financial network using compressed sensing based on low-frequency time series data
Finance Research Letters(2022)
摘要
•A new compressed sensing process is built to apply in reconstructing financial networks.•The reconstructed network is closer to the high-frequency network than the low-frequency network.•The reconstructed network can be used as a substitute to analyze the characteristics of the economic network.•Compared with classical reconstruction methods, compressed sensing network reconstruction improves the reconstruction accuracy.
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关键词
Compressed sensing,Complex network,Network reconstruction,Time series
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