Related papers: Dynamic Multi-Factor Clustering of Financial Netwo…
Clustering, assortativity, and communities are key features of complex networks. We probe dependencies between these attributes and find that ensembles with strong clustering display both high assortativity by degree and prominent community…
We consider a generalized version of the correlation clustering problem, defined as follows. Given a complete graph $G$ whose edges are labeled with $+$ or $-$, we wish to partition the graph into clusters while trying to avoid errors: $+$…
In this paper, we investigate the credit risk in the loan portfolio of banks following different business models. We develop a data-driven methodology for identifying the business models of the 365 largest European banks that is suitable…
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…
Using a sample of 903 APM clusters we investigate whether their dynamical status, as evidenced by the presence of significant substructures, is related to the large-scale structure of the Universe. We find that the cluster dynamical…
The role of Network Theory in the study of the financial crisis has been widely spotted in the latest years. It has been shown how the network topology and the dynamics running on top of it can trigger the outbreak of large systemic crisis.…
The domain of cluster analysis is a meeting point for a very rich multidisciplinary encounter, with cluster-analytic methods being studied and developed in discrete mathematics, numerical analysis, statistics, data analysis, data science,…
Countries participate in global value chains by engaging in backward and forward transactions connecting multiple geographically dispersed production stages. Inspired by network theory, we model global trade as a multilayer network and…
The clustering of companies within a specific stock market index is studied by means of super-paramagnetic transitions of an appropriate q-state Potts model where the spins correspond to companies and the interactions are functions of the…
The internal organization of complex networks often has striking consequences on either their response to external perturbations or on their dynamical properties. In addition to small-world and scale-free properties, clustering is the most…
We study the mechanism of formation of synchronized clusters in coupled maps on networks with various connection architectures. The nodes in a cluster are self- synchronized or driven-synchronized, based on the coupling strength and…
We propose a new way of building portfolios of cryptocurrencies that provide good diversification properties to investors. First, we seek to filter these digital assets by creating some clusters based on their path signature. The goal is to…
Throughout economic history, the global economy has experienced recurring crises. The persistent recurrence of such economic crises calls for an understanding of their generic features rather than treating them as singular events. 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…
Peer-grouping is used in many sectors for organisational learning, policy implementation, and benchmarking. Clustering provides a statistical, data-driven method for constructing meaningful peer groups, but peer groups must be compatible…
The community structure of complex networks reveals both their organization and hidden relationships among their constituents. Most community detection methods currently available are not deterministic, and their results typically depend on…
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
Distributed securities exchanges may become de facto fragmented if they span geographical regions with asymmetric computer infrastructure. First, we build an economic model of a decentralized exchange with two miner clusters, standing in…