Related papers: Random matrix theory and the evolution of business…
Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable.…
By scientific standards, the accuracy of short-term economic forecasts has been poor, and shows no sign of improving over time. We form a delay matrix of time-series data on the overall rate of growth of the economy, with lags spanning the…
The degree of convergence of the business cycles of the economies of the European Union is a key policy issue. In particular, a substantial degree of convergence is needed if the European Central Bank is to be capable of setting a monetary…
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encountered problem in computational finance is the…
In 1961 Herbert Simon and Albert Ando published the theory behind the long-term behavior of a dynamical system that can be described by a nearly uncoupled matrix. Over the past fifty years this theory has been used in a variety of contexts,…
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…
Economy correlations between the 19 richest countries are investigated through their Gross Domestic Product increments. A distance is defined between increment correlation matrix elements and their evolution studied as a function of time…
We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…
Two decades of studies have found significant regional differences in the timing of transitions in national business cycles and their durations. Earlier studies partly detect regional synchronization during business cycle expansions and…
Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic…
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…
This paper elaborates on the sectoral-regional view of the business cycle synchronization in the EU -- a necessary condition for the optimal currency area. We argue that complete and tidy clustering of the data improves the decision maker's…
Trade is a fundamental pillar of economy and a form of social organization. Its empirical characterization at the worldwide scale is represented by the World Trade Web (WTW), the network built upon the trade relationships between the…
We introduce and study systems of randomly coupled maps (RCM) where the relevant parameter is the degree of connectivity in the system. Global (almost-) synchronized states are found (equivalent to the synchronization observed in globally…
The cross-correlation matrix of daily returns of stock market indices in a diverse set of 37 countries worldwide was analyzed. Comparison of the spectrum of this matrix with predictions of random matrix theory provides an empirical evidence…
Is there a general economic pathway recapitulated by individual cities over and over? Identifying such evolution structure, if any, would inform models for the assessment, maintenance, and forecasting of urban sustainability and economic…
Is a causal description of human wealth history conceivable? To investigate the matter we introduce a simple causal albeit strongly aggregated model, assuming that the observed wealth growth is mainly driven by human collaborative efforts…
In this era of large-scale data, distributed systems built on top of clusters of commodity hardware provide cheap and reliable storage and scalable processing of massive data. Here, we review recent work on developing and implementing…
The present work investigates clustering of a graph-based representation of industrial connections derived from international trade data by Hidalgo et al (2007) and confirms existence of around ten industrial clusters that are reasonably…