Related papers: Dynamic asset trees and Black Monday
We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets -- Black Monday, Tech Bubble, Financial…
We introduce a multiscale measure of network instability based on the joint use of Detrended Cross-Correlation Analysis (DCCA) and Minimum Spanning Tree (MST) filtering. The proposed metric, the Elastic Detrended Cross-Correlation Ratio…
We address the problem of building and maintaining distributed spanning trees in highly dynamic networks, in which topological events can occur at any time and any rate, and no stable periods can be assumed. In these harsh environments, we…
Consider~\(n\) nodes~\(\{X_i\}_{1 \leq i \leq n}\) independently distributed in the unit square~\(S,\) each according to a distribution~\(f\) and let~\(K_n\) be the complete graph formed by joining each pair of nodes by a straight line…
The minimum spanning tree (MST) is a combinatorial optimization problem: given a connected graph with a real weight ("cost") on each edge, find the spanning tree that minimizes the sum of the total cost of the occupied edges. We consider…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
In this paper, we study the form over the minimum spanning tree problem (MST) from which we will derive an intuitively generalized model and new methods with the upper bound of runtimes of logarithm. The new pattern we made has taken…
We show how a few modifications to the red-black trees allow for $O(1)$ worst-case update time (once the position of the inserted or deleted element is known). The resulting structure is based on relaxing some of the properties of the…
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
A simple and elegant arrangement of stock components of a portfolio (market index-DJIA) in a recent paper [1], has led to the construction of crossing of stocks diagram. The crossing stocks method revealed hidden remarkable algebraic and…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactions), and volume traded. We search for the power-law…
We present a tree structure algorithm for optimal control problems with state constraints. We prove a convergence result for a discrete time approximation of the value function based on a novel formulation of the constrained problem. Then…
We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a…
Given a spatio-temporal network (ST network) where edge properties vary with time, a time-sub-interval minimum spanning tree (TSMST) is a collection of minimum spanning trees of the ST network, where each tree is associated with a time…
We introduce a model for the dynamic self-organization of the electric grid. The model is characterized by a conserved magnitude, energy, that can travel following the links of the network to satisfy nodes' load. The load fluctuates in time…
The information content of the minimum spanning tree (MST), used to capture higher-order statistics and information from the cosmic web, is compared to that of the power spectrum for a $\nu\Lambda$CDM model. The measurements are made in…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…