mlsanityData to 7 Oct 2026

Learning Undirected Graphs in Financial Markets

arXiv 2005.09958 ↗First posted 20 May 2020stat.ML q-fin.CP q-fin.STcited by 13

Not on the map. Why?

Abstract (arXiv)

We investigate the problem of learning undirected graphical models under Laplacian structural constraints from the point of view of financial market data. We show that Laplacian constraints have meaningful physical interpretations related to the market index factor and to the conditional correlations between stocks. Those interpretations lead to a set of guidelines that users should be aware of when estimating graphs in financial markets. In addition, we propose algorithms to learn undirected graphs that account for stylized facts and tasks intrinsic to financial data such as non-stationarity and stock clustering.

Key facts. Cited by 13 papers in the map (data through 7 Oct 2026). First posted on arXiv 20 May 2020.

Builds on

No reference list yet.

Built on by

Cited by year (2026 to 7 Oct)

Citing papers per year: 2021: 3; 2022: 0; 2023: 2; 2024: 4; 2025: 3; 2026: 1.

13 papers.

Sort:

  1. 2021Online Graph Learning under Smoothness Priorscited by 8
  2. 2024Polynomial Graphical Lasso: Learning Edges from Gaussian Graph-Stationary Signalscited by 8
  3. 2023Efficient Graph Laplacian Estimation by Proximal Newtoncited by 4
  4. 2023Joint Signal Recovery and Graph Learning from Incomplete Time-Seriescited by 3
  5. 2021Machine Learning in Finance-Emerging Trends and Challengescited by 2
  6. 2024Online Learning Of Expanding Graphscited by 2
  7. 2024Time-Varying Graph Learning for Data with Heavy-Tailed Distributioncited by 2
  8. 2021Joint Network Topology Inference via Structured Fusion Regularizationcited by 1
  9. 2024Online Proximal ADMM for Graph Learning from Streaming Smooth Signalscited by 0
  10. 2025CoVariance Filters and Neural Networks over Hilbert Spacescited by 0
  11. 2025Precision Neural Networks: Joint Graph And Relational Learningcited by 0
  12. 2025Estimating Fair Graphs from Graph-Stationary Datacited by 0
1 more
  1. 2026Beyond Co-Movement: Locality by Exposures Enables a Joint Factor-Graph Framework for Portfolio Diversificationcited by 0