stock-correlations-threshold.py

# 'winner takes all' method - set minium correlation threshold to remove some edges from the diagram
threshold = 0.5

# create a new graph from edge list
Gx = nx.from_pandas_edgelist(edges, 'asset_1', 'asset_2', edge_attr=['correlation'])

# list to store edges to remove
remove = []
# loop through edges in Gx and find correlations which are below the threshold
for asset_1, asset_2 in Gx.edges():
    corr = Gx[asset_1][asset_2]['correlation']
    #add to remove node list if abs(corr) < threshold
    if abs(corr) < threshold:
        remove.append((asset_1, asset_2))

# remove edges contained in the remove list
Gx.remove_edges_from(remove)

print(str(len(remove)) + " edges removed")