Related papers: Dynamic asset trees and Black Monday
The market weight of a stock is its capitalization (cap) divided by the total market cap. Rank these weights from top to bottom. The capital distribution curve is a plot of weights versus ranks. For the US stock market, it is linear on a…
The construction of minimum spanning trees (MSTs) from correlation matrices is an often used method to study relationships in the financial markets. However most of the work on this topic tends to use the Pearson correlation coefficient,…
In this paper, we study weakly dynamic undirected graphs, that can be used to represent some logistic networks. The goal is to deliver all the delivery points in the network. The network exists in a mostly stable environment, except for a…
Finding a minimum spanning tree (MST) for $n$ points in an arbitrary metric space is a fundamental primitive for hierarchical clustering and many other ML tasks, but this takes $\Omega(n^2)$ time to even approximate. We introduce a…
Physical phenomena in science and engineering are frequently modeled using scalar fields. In scalar field topology, graph-based topological descriptors such as merge trees, contour trees, and Reeb graphs are commonly used to characterize…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
We propose a picture of stock market crashes as critical points in a hierachical system with discrete scaling. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present ``experimental''…
We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce a technique to associate a value of reliability to links of…
Based on a recently proposed $q$-dependent detrended cross-correlation coefficient $\rho_q$, we generalize the concept of minimum spanning tree (MST) by introducing a family of $q$-dependent minimum spanning trees ($q$MST) that are…
We show by extensive simulations that the whole supercritical phase of the three-dimensional uniform forest model simultaneously exhibits an infinite tree and a rich variety of critical phenomena. Besides typical scalings like algebraically…
Transport networks are crucial to the functioning of natural and technological systems. Nature features transport networks that are adaptive over a vast range of parameters, thus providing an impressive level of robustness in supply.…
We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11…
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those…
A novel approach for non-intrusive uncertainty propagation is proposed. Our approach overcomes the limitation of many traditional methods, such as generalised polynomial chaos methods, which may lack sufficient accuracy when the quantity of…
Consider~\(n\) nodes distributed independently across~\(N\) cities contained with the unit square~\(S\) according to a distribution~\(f.\) Each city is modelled as an~\(r_n \times r_n\) square contained within~\(S\) and~\(MSTC_n\) denotes…
We discuss a notion of convergence for binary trees that is based on subtree sizes. In analogy to recent developments in the theory of graphs, posets and permutations we investigate some general aspects of the topology, such as a…
Tree-size distribution is one of the most investigated subjects in plant population biology. The forestry literature reports that tree-size distribution trajectories vary across different stands and/or species, while the metabolic scaling…
The minimum spanning tree (MST) construction is a classical problem in Distributed Computing for creating a globally minimized structure distributedly. Self-stabilization is versatile technique for forward recovery that permits to handle…
With the rapid growth of the green bond market amid increasing emphasis on sustainable development, understanding its structural properties and potential systemic risks has become essential. This study applies Minimum Spanning Tree (MST)…
Using a mapping of compact polymers on the Manhattan lattice to spanning trees, we calculate exactly the average number of bends at infinite temperature. We then find, in a high temperature approximation, the energy of the system as a…