Related papers: Dynamic asset trees and Black Monday
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
A complete understanding of real networks requires us to understand the consequences of the uneven interaction strengths between a system's components. Here we use the minimum spanning tree (MST) to explore the effect of weight assignment…
It has been proved that the spanning tree from a given network has the optimal synchronizability, which means the index $R=\lambda_{N}/\lambda_{2}$ reaches the minimum 1. Although the optimal synchronizability is corresponding to the…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
We consider a model of directed polymers on a regular tree with a disorder given by independent, identically distributed weights attached to the vertices. For suitable weight distributions this model undergoes a phase transition with…
A tree-packing is a collection of spanning trees of a graph. It has been a useful tool for computing the minimum cut in static, dynamic, and distributed settings. In particular, [Thorup, Comb. 2007] used them to obtain his dynamic min-cut…
The minimum linear arrangement problem on a network consists of finding the minimum sum of edge lengths that can be achieved when the vertices are arranged linearly. Although there are algorithms to solve this problem on trees in polynomial…
We study correlations of a set of stocks selected from both the New York and London stock exchanges. Results are displayed using both Random Matrix Theory approach and the graphical visualisation of the Minimal Spanning Tree. For the set of…
Spanning trees are an important primitive in many data analysis tasks, when a data set needs to be summarized in terms of its "skeleton", or when a tree-shaped graph over all observations is required for downstream processing. Popular…
In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in…
Prediction markets have demonstrated their value for aggregating collective expertise. Combinatorial prediction markets allow forecasts not only on base events, but also on conditional and/or Boolean combinations of events. We describe a…
Minimal spanning trees on infinite vertex sets are investigated. A criterion for minimality of a spanning tree having a finite length is obtained, which generalizes the corresponding classical result for finite sets. It is given an analytic…
A spanning tree of an unweighted graph is a minimum average stretch spanning tree if it minimizes the ratio of sum of the distances in the tree between the end vertices of the graph edges and the number of graph edges. We consider the…
Optimal transport provides a metric which quantifies the dissimilarity between probability measures. For measures supported in discrete metric spaces, finding the optimal transport distance has cubic time complexity in the size of the…
We study the relation between the minimal spanning tree (MST) on many random points and the "near-minimal" tree which is optimal subject to the constraint that a proportion $\delta$ of its edges must be different from those of the MST.…
Spanning trees of low average stretch on the non-tree edges, as introduced by Alon et al. [SICOMP 1995], are a natural graph-theoretic object. In recent years, they have found significant applications in solvers for symmetric diagonally…
Recent years have witnessed a surge of biological interest in the minimum spanning tree (MST) problem for its relevance to automatic model construction using the distances between data points. Despite the increasing use of MST algorithms…
This paper investigates the effects of the "uptick rule" (a short selling regulation formally known as rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where…
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…