Related papers: Cluster formation and evolution in networks of fin…
We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock portfolio which contains companies from different industrial…
Using data from 92 indices of stock exchanges worldwide, I analize the cluster formation and evolution from 2007 to 2010, which includes the Subprime Mortgage Crisis of 2008, using asset graphs based on distance thresholds. I also study the…
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…
Roughly speaking, clustering evolving networks aims at detecting structurally dense subgroups in networks that evolve over time. This implies that the subgroups we seek for also evolve, which results in many additional tasks compared to…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
It appears that the dynamical status of clusters and groups of galaxies is related to the large-scale structure of the Universe. A few interesting trends have been established: (1) The Cluster Substructure - Alignment Connection, by which…
The determination of cluster centers generally depends on the scale that we use to analyze the data to be clustered. Inappropriate scale usually leads to unreasonable cluster centers and thus unreasonable results. In this study, we first…
Using the APM cluster data we investigate whether the dynamical status of clusters is related to the large-scale structure of the Universe. We find that cluster substructure is strongly correlated with the tendency of clusters to be aligned…
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
The evolution of galaxies is driven strongly by dynamical processes including internal instabilities, tidal interactions and mergers. The cluster environment is a useful laboratory for studying these effects. I present recent results on…
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 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.…
We review recent work that investigates the formation of stellar clusters, ranging in scale from globular clusters through open clusters to the small scale aggregates of stars observed in T associations. In all cases, recent advances in…