Related papers: Time Evolution of Non-linear Currency Networks

We present a model in which we investigate the structure and evolution of a random network that connects agents capable of exchanging wealth. Economic interactions between neighbors can occur only if the difference between their wealth is…

The time dependence of the currency exchange rate K treated as a function of national dividend, investments and difference between total demand for a goods and supply is considered. To do this a proposed earlier general algorithm of…

The co-authorship network of scientists represents a prototype of complex evolving networks. By mapping the electronic database containing all relevant journals in mathematics and neuro-science for an eight-year period (1991-98), we infer…

To monitor risk in temporal financial networks, we need to understand how individual behaviours affect the global evolution of networks. Here we define a structural importance metric - which we denote as $l_e$ - for the edges of a network.…

We introduce a new framework for the analysis of the dynamics of networks, based on randomly reinforced urn (RRU) processes, in which the weight of the edges is determined by a reinforcement mechanism. We rigorously explain the empirical…

We present a general model for the growth of weighted networks in which the structural growth is coupled with the edges' weight dynamical evolution. The model is based on a simple weight-driven dynamics and a weights' reinforcement…

The combination of the network theoretic approach with recently available abundant economic data leads to the development of novel analytic and computational tools for modelling and forecasting key economic indicators. The main idea is to…

Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…

The prediction of both the existence and weight of network links at future time points is essential as complex networks evolve over time. Traditional methods, such as vector autoregression and factor models, have been applied to small,…

By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found.…

This article aims to model international trade relationships among 29 countries in the apparel industry between 1994 and 2013. Bilateral trade flows can be represented as a directed network, where nodes correspond to countries and directed…

We consider a decision network on an undirected graph in which each node corresponds to a decision variable, and each node and edge of the graph is associated with a reward function whose value depends only on the variables of the…

The methods of non-homogeneous random graphs calibration are developed for social networks simulation. The graphs are calibrated by the degree distributions of the vertices and the edges. The mathematical foundation of the methods is formed…

In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…

The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the…

We study the method for detecting relationship changes in financial markets and providing human-interpretable network visualization to support the decision-making of fund managers dealing with multi-assets. First, we construct co-occurrence…

Measuring the topological overlap of two graphs becomes important when assessing the changes between temporally adjacent graphs in a time-evolving network. Current methods depend on the fraction of nodes that have persisting edges. This…

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.…

The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…